Investor Information, Long-Run Risk, and the Term Structure of Equity

We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In

我们研究了信息在包含长期现金流风险（long-run cash flow risk）的资产定价模型（asset pricing models）中的作用。当投资者能够区分短期与长期消费风险并处于完全信息（full information）情境时，该模型仅在股权期限结构（equity term structure）向上倾斜的情况下，才能产生可观的股权风险溢价（equity risk premium），这与实际观测数据相悖。