文章基本信息
- 标题：Durable Consumption, Long-Run Risk and The Equity Premium
- 本地全文：下载
- 作者：Na Guo ; Peter N. Smith
- 期刊名称：Discussion Papers in Economics / Department of Economics, University of York
- 出版年度：2012
- 卷号：2012
- 出版社：University of York
- 摘要：ThispaperdevelopstheCCAPMmodeltoallowforlong-runriskindurableconsumption. AllowingEpstein-Zinpreferencestoincorporatenon-separabilityofdurableandnon-durablecon- sumptioninutilityprovidesforanEulerequationwhichcanbeshowntoprovideamuchbetter explanationofequitymarketfeaturesthaneitherthebasicCAPMorCCAPM..Thepaperin- corporatesthisdiscountfactorintoamodelwithlong-rundurableconsumptionriskandprovides the …rst setofestimatesofsuchamodel.TheanalysisinthepaperisfortheUK.Thisisof independentinterest.ThereisthusfarnoevidencefortheUKontheabilitiesofeitherthe durableconsumptionorlong-runriskmodels.Moreover,thenatureofthetimeseriesprocessthat bestexplainsnon-durableconsumptiongrowthintheUKsuggeststhatthestandardnon-durable long-runriskmodelisunlikelyto …t thefacts.Inshort,thereisnoevidenceforthepresence ofapersistent,heteroskedasticcomponentinnon-durableconsumptiongrowth.However,there issomequitepersuasiveevidencethatsuchacomponentexistsindurableconsumptiongrowth. Thispaperprovidespositiveevidenceinrespectoftheequitypremium,matchingtherisk-free rateandabilitytoexplainthecross-sectionofequityreturns.
