作者：Toda, Alexis Akira; Walsh, Kieran James
作者单位：University of California System; University of California San Diego; University of California System; University of California Santa Barbara
摘要：We show that in a general equilibrium model with heterogeneity in risk aversion or belief, shifting wealth from an agent who holds comparatively fewer stocks to one who holds more reduces the equity premium. From an empirical view, the rich hold more stocks, so inequality should predict excess stock market returns. Consistent with our theory, we find that when the U.S. top (e.g., 1%) income share rises, subsequent 1-year excess market returns significantly decline. This negative relation is ro...
作者：Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, Alessandro
作者单位：Bank of England; University of Southern California; University of Cambridge; Johns Hopkins University; National Bureau of Economic Research
摘要：We develop an asset pricing model with heterogeneous exposure to a persistent world growth factor to identify global growth and financial shocks in a multicountry panel VAR in volatility and output growth. The econometric estimates yield three sets of empirical results about (1) the importance of global growth for the interpretation of the correlation between volatility and growth over the business cycle and the possible presence of omitted variable bias in single-country VAR studies, (2) the ...
