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1、THEJOURNALOFFINANCE•VOL.LIX,NO.4•AUGUST2004RisksfortheLongRun:APotentialResolutionofAssetPricingPuzzlesRAVIBANSALandAMIRYARON∗ABSTRACTWemodelconsumptionanddividendgrowthratesascontaining(1)asmalllong-runpredictablecomponent,and(2)fluctuatingeconomicuncertainty(c
2、onsumptionvolatility).Thesedynamics,forwhichweprovideempiricalsupport,inconjunctionwithEpsteinandZin’s(1989)preferences,canexplainkeyassetmarketsphenomena.Inoureconomy,financialmarketsdislikeeconomicuncertaintyandbetterlong-rungrowthprospectsraiseequityprices.Th
3、emodelcanjustifytheequitypremium,therisk-freerate,andthevolatilityofthemarketreturn,risk-freerate,andtheprice–dividendratio.Asinthedata,dividendyieldspredictreturnsandthevolatilityofreturnsistime-varying.SEVERALKEYASPECTSOFASSETMARKETDATAposeaseriouschallengetoe
4、conomicmodels.1Itisdifficulttojustifythe6%equitypremiumandthelowrisk-freerate(seeMehraandPrescott(1985),Weil(1989),andHansenandJagannathan(1991)).Theliteratureonvarianceboundshighlightsthedifficultyinjustify-ingthemarketvolatilityof19%perannum(seeShiller(1981)an
5、dLeRoyandPorter(1981)).Theconditionalvarianceofthemarketreturn,asshowninBollerslev,Engle,andWooldridge(1988),fluctuatesacrosstimeandisverypersistent.Price–dividendratiosseemtopredictlong-horizonequityreturns(seeCampbellandShiller(1988)).Inaddition,asdocumentedin
6、thispaper,consumptionvolatilityandfutureprice–dividendratiosaresignificantlyneg-ativelycorrelated—ariseinconsumptionvolatilitylowersassetprices.∗BansalisfromtheFuquaSchoolofBusiness,DukeUniversity.YaronisfromTheWhartonSchool,UniversityofPennsylvania.WethankTimBo
7、llerslev,MichaelBrandt,JohnCampbell,JohnCochrane,BobHall,JohnHeaton,TomSargent,GeorgeTauchen,theEditor,ananonymousreferee,andseminarparticipantsatBerkeley(Haas),CIRANOinMontreal,DukeUniversity,IndianaUni-versity,Minnesota(Carlson),NBERSummerInstitute,NYU,Princet
8、on,SED,Stanford,Stanford(GSB),Tel-AvivUniversity,UBC(Commerce),UniversityofChicago,UCLA,andWhartonforhelp-fulcomments.WeparticularlythankAndyAbelandLarsHansenforencou
