Asset Pricing with Long Run Risks Model——Evidence from International Market

摘要

Consumption-based long run risk model (LRR) successfully explains several stylized facts of the US stock market at economically reasonable values of preference parameter,such as the high equity premium and its volatility and low risk free rate and its volatility.In this paper we investigate the LRR model in several industrial countries.We find LRR model can replicate the important characteristics of international equity market data as mentioned above.We investigate the variance ratio of growth rate,the predictability of consumption,dividend,excess return and their volatility,which the LRR model matches very well; we also find the cointegrating relation between dividend and aggregate consumption,a measure of long run consumption risks proposed by Bansal,Dittmar & Kiku (2009),can explain a lot of the variation in dividend and stock return in these countries.%基于宏观长期风险的资本资产定价模型(LRR)成功解释了美国股票市场上的股权溢价之谜、市场波动之谜等典型金融异象,在近些年来的发展过程中得到越来越多的关注.本文通过模型校准、模拟与实证比较相结合的方法研究长期风险理论在其他发达国家(如澳大利亚、加拿大、法国、德国、意大利、日本、荷兰、瑞典、瑞士、英国)和中国的股票市场的适用性,发现LRR 理论也能够解释在这些国家普遍存在的金融异象.LRR 理论认为股票价格是投资者对于未来经济增长和时变波动的预期的反应,这在实际数据和模拟数据中都得到了反应;消费和股利的协整关系作为宏观长期风险的测度,对于股利收益率和股市收益有很强的预测作用.