【主题】 Why can’t three decades of research fully solve consumption-based asset pricing puzzles? Evidence from micro data
【摘要】From Consumer Expenditure Survey (CEX) data, we discover that asset returns covary negatively with lower quantiles of the distribution of micro-consumption growth rates and that the negative covariation has a close bearing on household debts incurred by large-scale expenditures. These facts help explain the low correlation between asset returns and consumption growth, an anomaly at the center of various asset pricing puzzles. We associate our findings with more than ten strands of the literature about asset pricing, and conclude that ignorance of the negative covariation is a key problem involved in various pricing anomalies and many solutions thereof.