论文标题
基于多周期消费的资产定价模型的价格和回报自相关
Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model
论文作者
论文摘要
本文重点介绍了基于多周期消费的资产定价模型的基本定价方程式的隐藏依赖性。我们获得了基本定价方程式的近似值，这些方程式描述了今天的平均价格“今天”，“平均收益”，“价格和回报波动”以及价格和回报自相关性。基于消费的模型与其他资产定价（例如ICAPM，APM等）的深层结合（Cochrane，2001）强调，我们的结果对于其他定价模型有效。
This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price "to-day," mean payoff "next-day," price and payoff volatilities, and price and payoff autocorrelations. The deep conjunction of the consumption-based model with other versions of asset pricing, such as ICAPM, APM, etc. (Cochrane, 2001), emphasizes that our results are valid for other pricing models.
