By force of habit: A consumption-based explanation of aggregate stock market behavior
By force of habit: A consumption-based explanation of aggregate stock market behavior
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DOI：
10.1086/250059
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发表时间：
1999-04-01
影响因子：
8.2
通讯作者：
Cochrane, JH
中科院分区：
文献类型：
--
作者：
Campbell, JY;Cochrane, JH
我们提出了一个基于消费的模型来解释各种动态资产定价现象，包括股票价格的顺周期变化、股票超额收益的长期可预测性以及股票市场波动的逆周期变化。该模型从消费数据中获取了股票价格的大部分历史。它解释了尽管无风险利率持续走低，但短期和长期股票溢价的谜题。无论我们把股票作为消费流的一种诉求，还是作为与消费相关性差的波动性股息的一种诉求，其结果基本上是一样的。该模型由一个独立且同分布的消费增长过程驱动，并在标准的电力效用函数中增加了一个缓慢移动的外部习惯。这些特征在风险溢价中产生缓慢的逆周期变化。该模型从根本上对风险溢价进行了新颖的描述：投资者害怕股票，主要是因为在与长期平均消费增长风险无关的衰退中，股市表现不佳。
We present a consumption-based model that explains a wide variety of dynamic asset pricing phenomena, including the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. The model captures much of the history of stock prices from consumption data. It explains the short- and long-run equity premium puzzles despite a low and constant risk-free rate. The results are essentially the same whether we model stocks as a claim to the consumption stream or as a claim to volatile dividends poorly correlated with consumption. The model is driven by an independently and identically distributed consumption growth process and adds a slow-moving external habit to the standard power utility function. These features generate slow countercyclical variation in risk premia. The model posits a fundamentally novel description of risk premia: Investors fear stocks primarily because they do poorly in recessions unrelated to the risks of long-run average consumption growth.