Critical Finance Review, 2012, 2: 1–48

资产价格长期风险模型的实证评估

作者：Ravi Bansal (Duke University and NBER), Dana Kiku (University of Pennsylvania), Amir Yaron (University of Pennsylvania and NBER)

摘要：我们对长期风险（LRR）模型进行了实证评估，并强调了LRR模型与习惯模型在资产定价含义方面的重要差异。我们得到三个关键结果：（i）与LRR模型一致，数据中有相当多的证据表明预期消费增长和消费波动率是时变的，（ii）LRR模型与重要的资产市场数据特征相匹配，（iii）相应地，在数据和LRR模型中，滞后的消费增长并不能预测未来的价格-股息比，而在习惯模型中，它预测了未来的价格—股息比，R平方为40％以上。总体来说，我们发现有相当多的实证证据支持LRR模型。

关键词：长期风险模型、校准、股票价格、预测能力

An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

Ravi Bansal (Duke University and NBER), Dana Kiku (University of Pennsylvania), Amir Yaron (University of Pennsylvania and NBER)

ABSTRACT

We provide an empirical evaluation of the Long-Run Risks (LRR) model, and highlight important differences in the asset pricing implications of the LRR model relative to the habit model. We feature three key results: (i) consistent with the LRR model there is considerable evidence in the data for time-varying expected consumption growth and consumption volatility, (ii) the LRR model matches the key asset markets data features, (iii) in the data and in the LRR model accordingly, lagged consumption growth does not predict the future price-dividend ratio, while in the habit-model it counterfactually predicts the future price-dividend with an of over 40%. Overall, we find considerable empirical support for the LRR model.

Keywords: the Long-Run Risks model, asset prices, empirical evaluation, habit model

原文链接：http://cfr.ivo-welch.info/readers/pub/cfr-004.pdf

翻译：任兆月