理性资产定价.pdf

THE JOURNAL OF FINANCE • VOL. LVII, NO. 4 • AUGUST 2002
Rational Asset Prices
E 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 intro-
ducing 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 e 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,andpredictability 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 win-
ning 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 pleteness, market imperfec-
tions, informationa