Collaborative Research: Relating Asset Pricing Theories to Asset Pricing Facts

合作研究：将资产定价理论与资产定价事实联系起来

• 批准号: 0617858
• 负责人: Sydney Ludvigson
• 金额: $ 27.12万
• 依托单位: New York University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2006
• 资助国家: 美国
• 起止时间: 2006-07-01 至 2009-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0617858&HistoricalAwards=false
• 关键词: Collaborative; Research; Relating; Asset; Pricing

The work described in this proposal aims to build our understanding of the ways in which modern-day asset pricing theories are related to asset pricing facts. This project considers two specific questions of importance to both theoretical and empirical inquiry in financial economics. First, the proposal asks whether leading asset pricing models help explain the large empirical Euler equation errors generated by the standard, representative-agent, consumption-based asset pricing model when confronted with historical data on consumption and cross-sections of risky asset returns. This is important because, if leading asset pricing models are true, then in these models using standard model to price assets should generate large unconditional asset pricing errors, as in the data. Yet surprisingly little research has been devoted to assessing the extent to which modern-day asset pricing theories can explain the significant mispricing of the standardconsumption-based model. The research described here is a first step in filling in this gap. Second, the research activity described in this proposal will study the interaction of informational assumptions with the assumptions on the statistical properties of consumption and dividend growth for determining asset prices. An important recent strand of the asset pricing literature has emphasized the possible role of very small but very persistent components in expected dividend growth in generating large equity risk premia, both for an aggregate stock market return and for cross-sections of risky equity returns. A key assumption in this literature is that investors can distinguish such small components in the data even though it is exceedingly difficult to do so econometrically. This proposal explores the ramifications of relaxing this assumption and shows how it can influence the model's implications for asset pricing phenomena. The methodology is both empirical and theoretical. The empirical methodology relies on standard econometric analysis to describe the pricing errors of economic models and the time-series properties of aggregate consumption and stock market cash-flows. The theoretical methodology employs specific models of economic behavior to lend structure and interpretation to the econometric analysis.Broader Impact: The results of the proposed research will be of relevance to policymakers and market economists, as well as academics. Understanding the theoretical frameworks that can explain the behavior of the real and financial sectors of the economy is fundamental for the informed and timely conduct of monetary policy, and for the effectual use of macroeconomic analysis required of industry practitioners. In addition, the research described in this proposal, with its emphasis on the interplay between financial markets and the real economy, can also form a bedrock for studying the ramifications of specific policy initiatives, such as the privatization of social security and the taxation of capital gains and dividend income. The empirical investigations of this research agenda have the potential not only to expand the state of knowledge about what kind of theoretical structures are capable of explaining the behavior of asset markets, but also to facilitate our understanding of the future course of economic activity, its implications for financial markets and household wealth. In the wake of such an unusual period in global equity markets, such an understanding will be crucial to the continued implementation of sound economic policy and financial practice.

本提案中描述的工作旨在建立我们对现代资产定价理论与资产定价事实之间关系的理解。这个项目考虑了两个对金融经济学的理论和实证研究都很重要的具体问题。首先，该提案询问，当面对消费和风险资产收益横截面的历史数据时，领先的资产定价模型是否有助于解释标准、代表-代理、基于消费的资产定价模型产生的巨大经验欧拉方程误差。这一点很重要，因为如果领先的资产定价模型是正确的，那么在这些模型中，使用标准模型来定价资产应该会产生巨大的无条件资产定价错误，就像在数据中一样。然而，令人惊讶的是，很少有研究致力于评估现代资产定价理论在多大程度上能够解释基于消费的标准模式的严重错误定价。这里描述的研究是填补这一空白的第一步。其次，本建议中描述的研究活动将研究信息性假设与关于消费和股息增长的统计属性的假设之间的相互作用，以确定资产价格。最近一篇重要的资产定价文献强调了预期股息增长中非常小但非常持久的组成部分在产生巨大的股票风险溢价方面可能发挥的作用，无论是对股市总回报还是对高风险股票回报的横截面而言。这篇文献中的一个关键假设是，投资者可以区分数据中的这些小部分，尽管在计量经济学上很难做到这一点。这项建议探讨了放松这一假设的后果，并展示了它如何影响该模型对资产定价现象的影响。这种方法既是经验的，也是理论的。实证方法依赖于标准的计量分析来描述经济模型的定价误差以及总消费和股票市场现金流的时间序列特性。理论方法论使用特定的经济行为模型来为计量经济学分析提供结构和解释。更广泛的影响：拟议的研究结果将与政策制定者和市场经济学家以及学者相关。理解能够解释经济实体和金融部门行为的理论框架，对于及时、知情地实施货币政策，以及有效地使用行业从业者所需的宏观经济分析，是至关重要的。此外，本提案所述研究的重点是金融市场和实体经济之间的相互作用，也可作为研究具体政策举措的后果的基石，如社会保障私有化以及对资本利得和股息收入征税。对这一研究议程的实证研究不仅有可能扩大关于什么样的理论结构能够解释资产市场行为的知识状态，而且还有助于我们理解未来经济活动的进程及其对金融市场和家庭财富的影响。在全球股市经历了这样一个不寻常的时期之后，这种理解对于继续实施稳健的经济政策和金融实践将是至关重要的。