股权溢价之谜
经济
微观数据(统计)
捐赠
资本资产定价模型
收益
收益增长
衡平法
计量经济学
库存(枪支)
风险溢价
股票市场
金融经济学
货币经济学
财务
人口
法学
马
古生物学
人口学
社会学
哲学
工程类
认识论
生物
机械工程
人口普查
政治学
作者
Stefan Nagel,Zhengyang Xu
摘要
Abstract Building on evidence that lifetime experiences shape individuals’ macroeconomic expectations, we study asset prices in an economy in which a representative agent learns with fading memory about unconditional mean endowment growth. With IID fundamentals, constant risk aversion, and memory decay calibrated to microdata, the model generates a high and strongly countercyclical objective equity premium, while the subjective equity premium is virtually constant. Consistent with this theory, experienced payout growth (a weighted average of past growth rates) is negatively related to future stock market excess returns and subjective expectations errors in surveys, and positively to analysts’ forecasts of long-run earnings growth.
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