理性资产定价【26页】.pdfVIP

THE JOURNAL OF FINANCE ? VOL. LVII, NO. 4 ? AUGUST 2002 Rational Asset Prices GEORGE M. CONSTANTINIDES* ABSTRACT The mean, covariability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample mean premium by introducing prior beliefs about the stationarity of the price–dividend ratio and the ~non!forecastability of the long-term dividend growth and price–dividend ratio. Recognition that idiosyncratic income shocks are uninsurable and concentrated in recessions contributes toward an explanation. Also borrowing constraints over the investors’ life cycle that shift the stock market risk to the saving middle-aged consumers contribute toward an explanation. A central theme in finance and economics is the pursuit of a unified theory of the rate of return across different classes of financial assets. In particular, we are interested in the mean, covariability, and predictability of the return of financial assets. At the macro level, we study the short-term risk-free rate, the term premium of long-term bonds over the risk-free rate, and the aggregate equity premium of the stock market over the risk-free rate. At the micro level, we study the premium of individual stock returns and of classes of stocks, such as the small-capitalization versus large-capitalization stocks, the “value” versus “growth” stocks, and the past losing versus winning stocks. The neoclassical rational economic model is a unified model that views these premia as the reward to risk-averse investors that process information rationally and have unambiguously defined preferences over consumption that typically ~but not necessarily! belong to the von Neumann–Morgenstern class. Naturally, the theory allows for market incompleteness, market imperfections, informational asymmetries, and learning. The t