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Asset Pricing Tests with Long Run Risks in Consumption Growth
George M. Constantinides
Anisha Ghosh
出版
National Bureau of Economic Research
, 2008
URL
http://books.google.com.hk/books?id=oKjNcQAACAAJ&hl=&source=gbs_api
註釋
The Bansal and Yaron (2004) model of long-run risks (LRR) in aggregate consumption and dividend growth and its cointegrated extension are tested on a cross-section of assets and rejected over 1930-2006. Reversal of earlier conclusions is due to the increased power of the tests resulting from two observations under the null: the latent state variables and, therefore, the pricing kernel are known affine functions of observables; and, the unconditional moments of the time series processes impose constraints in addition to the pricing constraints. The models perform better in postwar subperiods, consistent with evidence of structural-breaks.
