The Journal of Finance, Volume 71, Issue6, December 2016, Pages 2861-2904

估值风险与资产定价

作者：Rui Albuquerque (Boston College; CEPR; ECGI), Martin Eichenbaum (Northwestern University; NBER; the Federal Reserve Bank of Chicago), Victor Xi Luo (Northwestern University), Ser Gio Rebelo (Northwestern University; NBER; CEPR)

摘要：标准的代理模型无法解释股票收益与基本面之间的弱相关性，例如消费与产出增长之间的关系。这种失败的出现导致几乎所有现代资产定价模型出现问题，因为这些模型都是将所有的不确定性赋予经济的供给端。我们提出了一个简单的资产定价理论，其中需求冲击发挥核心作用。这些冲击引起的估值风险允许模型解释关键的资产定价时刻，如股权溢价，债券期限溢价以及股票收益率和基本面之间的弱相关性。

Valuation Risk and Asset Pricing

Rui Albuquerque (Boston College; CEPR; ECGI), Martin Eichenbaum (Northwestern University; NBER; the Federal Reserve Bank of Chicago), Victor Xi Luo (Northwestern University), Ser Gio Rebelo (Northwestern University; NBER; CEPR)

ABSTRACT

Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing, which underlies virtually all modern asset pricing puzzles, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12437/full

翻译：秦秀婷