新闻冲击、长期风险和资产回报

ERN: Productivity (Topic) Pub Date : 2016-12-15 DOI:10.2139/ssrn.2491284

Soohun Kim, Chang Lee

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引用次数: 0

摘要

我研究的是反映在新闻冲击中的长期消费风险，即对未来生产力预期的冲击。我用结构向量自回归分析来识别新闻冲击。新闻冲击导致未来消费持续增长，并在很大程度上解释了长期消费变动。与长期消费风险假设相一致，我发现新闻冲击在资产收益横截面上具有显著的正风险溢价。我还发现，新闻冲击解释了规模溢价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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News Shocks, Long-Run Risk, and Asset Returns

I study the long-run consumption risk reflected in news shock, a shock to expectations about future productivity. I identify news shock using a structural Vector Autoregression analysis. News shocks cause persistent future consumption growth and explain a large share of consumption movements in the long-run. Consistent with the long-run consumption risk hypothesis, I find that news shocks have a significantly positive risk premium in the cross section of asset returns. I also find that news shocks explain the size premium.

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ERN: Productivity (Topic)

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