Critical Finance Review(Forthcoming)

Yogo (2006)中的敏感度、矩条件和无风险利率

作者：Nicola Borri (LUISS University), Giuseppe Ragusa (LUISS University)

摘要：在本文中，我们证明了Yogo影响深远的论文《基于消费的对预期股票收益的解释》中展示的结果不能被复制。我们发现了不同的参数估计值，同时我们获得了远远大于原文的过度识别统计值，表明了对耐用品消费资产定价模型的拒绝。通过仔细检查Yogo的复制文件，我们发现一个程序错误导致了结果的不一致。耐用品消费资产定价模型无法同时解释无风险利率和超额股票收益，这一点更加证明了应该拒绝此模型。

关键词：股票溢价、非线性广义矩估计、耐用品模型

Sensitivity, Moment Conditions, and the Risk-free Rate in Yogo (2006)

Nicola Borri (LUISS University), Giuseppe Ragusa (LUISS University)

ABSTRACT

In this paper we show that results presented in the seminal paper by Yogo, A Consumption Based Explanation of Expected Stock Returns, cannot be replicated. We find different estimates for the parameters and we obtain values of over-identified statistics that being much larger than those in the original paper indicate rejection of the durable consumption asset pricing model. By careful inspection of Yogo’s replication files, we were able to track down the inconsistency to a coding bug. The rejection of the durable model is exemplified by its inability to simultaneously explain the risk-free rate and excess stock returns.

Keywords: equity premium, nonlinear GMM estimation, durable model

原文链接：http://cfr.ivo-welch.info/readers/2017/borri-ragusa.pdf

翻译：任兆月