期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2008
卷号：2
期号：3
页码：35-66
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：This paper provides new estimates and tests of a number of leading general equilibrium theories of the price ofequity and, to our knowledge, the first estimates of the time-varying equity premia implied by these models.Three general equilibrium theories are examined: the consumption-CAPM with power utility, the Epstein-Zingeneral equilibrium model with time non-separable preferences and habit-persistence models. We comparethese models with the more restrictive unconditional CAPM, and with more general models based on discountfactors which encompass all of these models. Rather than use GMM estimation or calibration, we proposea new model, the multi-variate GARCH—covariance-in-mean (MGCM) model that is constrained to satisfy ano-arbitrage condition by including conditional covariance terms in the mean of the asset-pricing equation.This enables us to estimate time-varying risk premia and to investigate the contribution to the risk premiumof macroeconomic sources of equity risk. In particular, we examine the role of in. ationinpricingthenominalequity risk premium and show that it has importance beyond that implied by the canonical models. Estimatesare obtained for monthly data from 1975-2001 for the US and UK stock markets
