11月30日今日主力资金路线大曝光

1、RationalAssetPricesGEORGEM.CONSTANTINIDES*ABSTRACTThemean,covariability,andpredictabilityofthereturnofdifferentclassesoffinancialassetschallengetherationaleconomicmodelforanexplanation.Theunconditionalmeanaggregateequitypremiumisalmostsevenpercentperyearandremainshighafteradjustingdownwardsthesamplemeanpremiumbyintro-ducingpriorbeliefsaboutthestationarityoftheprice–dividendratioandthe~non!-forecastabilityofthelong-termdividendgrowthandprice–dividendratio.Recognitionthatidiosyncraticincomeshocks。

2、areuninsurableandconcentratedinrecessionscontributestowardanexplanation.Alsoborrowingconstraintsovertheinvestors’lifecyclethatshiftthestockmarketrisktothesavingmiddle-agedconsumerscontributetowardanexplanation.Acentralthemeinfinanceandeconomicsisthepursuitofaunifiedtheoryoftherateofreturnacrossdifferentclassesoffinancialassets.Inparticular,weareinterestedinthemean,covariability,andpredictabilityofthereturnoffinancialassets.Atthemacrolevel,westudytheshort-termrisk-freerate,thetermpremiumoflong-te。

3、rmbondsovertherisk-freerate,andtheaggregateequitypremiumofthestockmarketovertherisk-freerate.Atthemicrolevel,westudythepremiumofindividualstockreturnsandofclassesofstocks,suchasthesmall-capitalizationversuslarge-capitalizationstocks,the“value”versus“growth”stocks,andthepastlosingversuswin-ningstocks.Theneoclassicalrationaleconomicmodelisaunifiedmodelthatviewsthesepremiaastherewardtorisk-averseinvestorsthatprocessinformationrationallyandhaveunambiguouslydefinedpreferencesoverconsumptionthattypica。

4、lly~butnotnecessarily!belongtothevonNeumann–Morgensternclass.Naturally,thetheoryallowsformarketincompleteness,marketimperfec-tions,informationalasymmetries,andlearning.Thetheoryalsoallowsfordifferencesamongassetsforliquidity,transactioncosts,taxstatus,andotherinstitutionalfactors.Thecauseofmuchanxietyoverthelastquarterofacenturyisevidenceinterpretedasfailureoftherationaleconomicparadigmtoexplainthepricelevelandtherateofreturnoffinancialassetsbothatthemacroandmicro*UniversityofChicagoandNBER.Itha。

5、nkJohnCampbell,GeneFama,ChrisGeczy,LarsHansen,JohnHeaton,RajnishMehra,L’ubosˇPástor,DickThaler,andparticularlyAlonBravandJohnCochrane,fortheirinsightfulcommentsandconstructivecriticism.Finally,IthankLiorMenzlyforhisexcellentresearchassistanceandinsightfulcommentsthroughoutthisproject.Naturally,Iremainresponsibleforerrors.THEJOURNALOFFINANCEVOL.LVII,NO.4AUGUST20021567levels.Acelebratedexampleofsuchevidence,althoughbynomeanstheonlyone,isthefailureoftherepresentative-agentrationaleconomicparadigm。

6、toaccountforthelargeaveragepremiumoftheaggregatereturnofstocksovershort-termbondsandthesmallaveragereturnofshort-termbondsfromthelastquarterofthe19thcenturytothepresent.Dubbedthe“EquityPre-miumPuzzle”byMehraandPrescott~1985!,ithasgeneratedacottagein-dustryofrationalandbehavioralexplanationsofthelevelofassetpricesandtheirrateofreturn.Anotherexampleisthelargeincreaseinstockpricesintheearlyandmiddle1990s,whichFederalReserveChairmanAlanGreenspandecriedas“IrrationalExuberance”evenbeforetheunprecedent。

7、edfurtherincreaseinstockpricesandprice–dividendratiosinthelate1990s.Myobjectiveistorevisitsomeofthisevidenceandexploretheextenttowhichtherationaleconomicparadigmexplainsthepricelevelandtherateofreturnoffinancialassetsoverthepast100years,bothatthemacroandmicrolevels.InSectionI,Ireexaminethestatisticalevidenceonthesizeoftheuncon-ditionalmeanoftheaggregateequityreturnandpremium.First,Idrawasharpdistinctionbetweenconditional,short-termforecastsofthemeanequityreturnandpremiumandestimatesoftheuncondi。

8、tionalmean.Iarguethatthecurrentlylowconditionalshort-termforecastsofthereturnandpre-miumdonotlessentheburdenoneconomictheorytoexplainthelargeun-conditionalmeanequityreturnandpremium,asmeasuredbytheirsampleaverageoverthepast130years.Second,Iarguethateventhoughonemayintroduceone’sownstrongpriorbeliefsandadjustdownwardsthesample-averageestimateofthepremium,theunconditionalmeanequitypremiumisatleast6percentperyearandtheannualSharperatioisatleast32per-cent.Thesenumbersarelargeandcallforaneconomicexpl。

9、anation.InSectionII,Idiscusslimitationsofthecurrenttheorytoexplainempir-icalregularities.Iarguethatpercapitaconsumptiongrowthcovariestoolittlewiththereturnofmostclassesoffinancialassetsandthisimpliesthattheobservedaggregateequityreturn,thelong-termbondreturn,andtheobservedreturnsofvarioussubclassesoffinancialassetsaretoolarge,toovariable,andtoopredictable.Intheremainingsections,Irevisitandexaminetheextenttowhichwecanexplaintheassetreturnsbyrelaxingtheassumptionsofcompletecon-sumptioninsurance,pe。

10、rfectmarkets,andtime-separablepreferences.Asthereaderwillreadilyobserve—andIoffermyapologies—mychoiceofissuesiseclecticandmirrorsinpartmyownresearchinterests.InSectionIII,Ishowthatidiosyncraticincomeshocksconcentratedinperiodsofeconomicrecessionplayakeyroleingeneratingthemeanequitypremium,thelowrisk-freerate,andthepredictabilityofreturns.Iarguethatinsufficientattentionhasbeenpaidtothefactthattheannualaggregatelaborincomeexceedsannualdividendsbyafactorofover20.Laborincomeisbyfarthesinglemostimport。