问题如下:
Risk-averse investors demanding a large equity risk premium are most likely expecting their future consumption outcomes and equity returns to be:
选项:
A.uncorrelated.
B.positively correlated.
C.negatively correlated.
解释:
B is correct.
If investors demand high equity risk premiums, they are likely expecting their future consumption and equity returns to be positively correlated. The positive correlation indicates that equities will exhibit poor hedging properties, as equity returns will be high (e.g., pay off) during "good times" and will be low (e.g., not pay off) during "bad times". In other words, the covariance between risk-averse investors’ inter-temporal rates of substitution and the expected future prices of equities is highly negative, resulting in a positive and large equity risk premium. This is the case because, in good times, when equity returns are high, the marginal value of consumption is low. Similarly, in bad times, when equity returns are low, the marginal value of consumption is high. Holding all else constant, the larger the magnitude of the negative covariance term, the larger the risk premium.
考点: equity risk premium & consumption outcomes
解析:问的是股票收益与实体经济的相关性,两者是正相关的,因为实体经济变好,股票收益率增加。正因为两者正相关,所以在经济下滑时,股票不是很好的对冲经济下滑的工具,所以要使风险厌恶的投资者投资股票,就必须给他们更高的风险补偿。
可以理解这里的正相关指的是经济向好的时候,公司盈利比较多,股价也会上涨,所以equity return 高。
但是不能理解讲义里还提到过:In the time of economic weakness or stress, the equity risjk premium to rise. Equity risk premium也是属于equity return的一部分,但这样看来它并不是positive related with consumption outcome的。请问这里怎么理解?