论文标题
资产价格和资本份额风险：理论和证据
Asset Prices and Capital Share Risks: Theory and Evidence
论文作者
论文摘要
最近发现使用长期资本份额增长风险的资产定价模型成功解释了美国股票的回报。我们的论文采用了递归优先实用框架，以获取具有资本份额风险的异质资产定价模型。当对资本份额的股票风险进行建模时，我们考虑了高收入股东的消费量升高。资本风险在我们的递归资产定价模型中具有强烈的波动效应。提供了经验证据，其中资本份额增长也是股票回报率波动的风险来源。我们发现了对资本份额风险的无条件和有条件资产定价证据的对比。
An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model with capital share risks.While modeling capital share risks, we account for the elevated consumption volatility of high income stockholders. Capital risks have strong volatility effects in our recursive asset pricing model. Empirical evidence is presented in which capital share growth is also a source of risk for stock return volatility. We uncover contrasting unconditional and conditional asset pricing evidence for capital share risks.
