祝贺西南财经大学金融研究院李凯副教授在著名国际期刊《Journal of Economic Theory》与美国加州大学圣地亚哥分校雷迪管理学院刘俊教授发表论文 “Extrapolative asset pricing”
题目：Extrapolative asset pricing
作者：李凯（麦考瑞大学应用金融系，西南财经大学金融研究院），Jun Liu（加州大学圣地亚哥分校雷迪管理学院）
摘要：
This paper studies implications of return extrapolation in a consumption-based asset pricing model. We show that return extrapolation has strong implications for the pricing kernel. The time variation in the agen-t’s return expectations is mainly reflected in the short rate and little in return volatility and equity premium. Return extrapolation causes return volatility and equity premium to be lower than the rational counter-parts. In addition to the risk premium, the equity premium can include a sentiment premium that is due to dividend expectation bias rather than return extrapolation bias. Thus, time-varying dividend (rather than re-turn) expectation bias helps produce a volatile equity premium. These results show that return extrapolation exacerbates asset pricing puzzles and fundamental extrapolation helps resolve puzzles.
本文研究了基于消费的资产定价模型中收益外推的影响。我们表明，收益率外推对定价内核有很大的影响。agen-t的收益预期的时间变化主要反映在短利率上，而很少反映在收益波动率和股权溢价上。回报外推导致回报波动率和股权溢价低于理性的对应物。除了风险溢价外，股权溢价还可能包括情绪溢价，而情绪溢价是由股息预期偏差而不是回报外推偏差引起的。因此，随时间变化的股息（而不是回报）预期偏差有助于产生波动的股票溢价。这些结果表明，收益外推会加剧资产定价的困惑，而基本面外推则有助于解决困惑。
文章链接：https://www.sciencedirect.com/science/article/pii/S0022053123000479?via%3Dihub
