Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

作者：Li, Erica X. N.; Li, Haitao; Wang, Shujing; Yu, Cindy

来源：Management Science, 2019, 65(8): 3585-3604.

DOI：10.1287/mnsc.2017.2999

• DSGE model
• Bayesian MCMC estimation
• stock returns
• neutral technology shock
• investment-specific technology shock
• monetary policy shock
• risk shock

We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic variables and extract the time series of four latent fundamental shocks of the model: neutral technology shock, investment-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can explain a number of prominent cross-sectional return spreads: size, book-to-market, investment, earnings, and long-term reversal. The investment-specific technological shock and risk shock play the most important role in explaining those return spreads.

• 出版日期2019-8
• 单位同济大学