Valuation Risk and Asset Pricing
Valuation Risk and Asset Pricing
复制标题
估值风险和资产定价
DOI：
10.2139/ssrn.2447899
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发表时间：
2012
期刊：
影响因子：
--
通讯作者：
Sergio Rebelo
中科院分区：
文献类型：
--
作者：
R. Albuquerque;M. Eichenbaum;V. Luo;Sergio Rebelo
标准的代表-代理模型很难解释股票收益与可衡量的基本面（例如消费和产出增长）之间的弱相关性。这一失败几乎是所有现代资产定价难题的根源。相关性难题的出现是因为这些模型将所有不确定性都转移到了经济的供给侧。我们提出了一种简单的资产定价理论，其中需求冲击发挥着核心作用。这些冲击会产生估值风险，使模型能够考虑关键的资产定价时刻，例如股票溢价、债券期限溢价以及股票回报与基本面之间的弱相关性。
Standard representative-agent models have difficulty in accounting for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing underlies virtually all modern asset-pricing puzzles. The correlation puzzle 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 to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals.
影响因子：
8.2
作者：
Campbell, John Y.;Shiller, Robert J.
通讯作者：
Shiller, Robert J.
DOI：
10.2139/ssrn.2364086
发表时间：
2014-01
期刊：
International Trade eJournal
影响因子：
--
作者：
X. Gabaix;Matteo Maggiori;Ariel Burstein;J. Campbell;Nicolas Coeurdacier;Alessandro Dovis;Bernard Dumas;E. Farhi;Luca Fornaro;Kenneth A. Froot;Nicolae Gârleanu;G. Gopinath;Pierre-Olivier Gourinchas;Oleg Itskhoki;Andrew Karolyi;N. Kiyotaki;Anton Korinek;A. Krishnamurthy;G. Lorenzoni;Brent Neiman;M. Obstfeld;Stavros Panageas;Anna Pavlova;F. Perri;Helen Rey;Ken Rogoff;Lucio Sarno;Hyun Song Shin;A. Shleifer;Jeremy Stein;Adrien Verdelhan
通讯作者：
X. Gabaix;Matteo Maggiori;Ariel Burstein;J. Campbell;Nicolas Coeurdacier;Alessandro Dovis;Bernard Dumas;E. Farhi;Luca Fornaro;Kenneth A. Froot;Nicolae Gârleanu;G. Gopinath;Pierre-Olivier Gourinchas;Oleg Itskhoki;Andrew Karolyi;N. Kiyotaki;Anton Korinek;A. Krishnamurthy;G. Lorenzoni;Brent Neiman;M. Obstfeld;Stavros Panageas;Anna Pavlova;F. Perri;Helen Rey;Ken Rogoff;Lucio Sarno;Hyun Song Shin;A. Shleifer;Jeremy Stein;Adrien Verdelhan