Collaborative Research: Relating Asset Pricing Theories to Asset Pricing Facts

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相关的方式的理解。这个项目考虑了两个对金融经济学理论和实证研究都很重要的具体问题。首先，该提案提出了当面对消费历史数据和风险资产收益横截面时，主要的资产定价模型是否有助于解释标准的、代表-代理的、基于消费的资产定价模型所产生的大量经验欧拉方程误差。这一点很重要，因为如果主要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为资产定价应该会产生巨大的无条件资产定价错误，正如数据中所示。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能在多大程度上解释基于消费的标准模型的严重错误定价。本文所描述的研究是填补这一空白的第一步。其次，本提案中描述的研究活动将研究信息假设与消费和股息增长的统计属性假设之间的相互作用，以确定资产价格。最近资产定价文献的一个重要分支强调了预期股息增长中非常小但非常持久的成分在产生大量股票风险溢价方面的可能作用，无论是对于总股票市场回报还是对于风险股票回报的横截面。这篇文献中的一个关键假设是，投资者可以区分数据中如此小的组成部分，尽管在计量经济学上很难做到这一点。本文探讨了放宽这一假设的后果，并展示了它如何影响模型对资产定价现象的影响。方法是实证和理论。实证方法依赖于标准的计量经济学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属性。理论方法论采用特定的经济行为模型，为计量经济学分析提供结构和解释。更广泛的影响：拟议研究的结果将与政策制定者和市场经济学家以及学术界相关。理解可以解释经济实体和金融部门行为的理论框架，对于货币政策的知情和及时实施，以及对行业从业者所需的宏观经济分析的有效使用，都是至关重要的。此外，本提案中描述的研究强调金融市场与实体经济之间的相互作用，也可以为研究具体政策举措的后果奠定基础，例如社会保障私有化和资本收益和股息收入的税收。本研究议程的实证调查不仅有可能扩大关于何种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经济活动的未来进程及其对金融市场和家庭财富的影响。在全球股市经历了如此不寻常的时期之后，这种理解对于继续实施稳健的经济政策和金融实践至关重要。

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.