作者：CAMPBELL, JY; KYLE, AS
作者单位：University of California System; University of California Berkeley
摘要：This paper estimates an equilibrium model of stock price behaviour in which changes in exponentially de-trended dividends and prices are normally distributed and exogenous ''noise traders'' interact with ''smart-money'' investors who have constant absolute risk aversion. The model can explain the volatility and predictability of U.S. stock returns in the period 1871-1986 using either a low discount rate (4% or below) and a large constant risk discount on the stock price, or a higher discount r...
