Although consumption-based asset pricing constitutes a solid body of work for the purpose of relating asset prices and macroeconomics, most empirical tests put into question the representative investor perspective. Furthermore, most approaches accounting for untraded risks, such as the Constantinides-Duffie model, face the problem of correctly quantifying idiosyncratic risk. In this paper we exploit the strong relationship of income inequality with trade openness and research and development (R&D) investment to proxy the cross-sectional variance of consumption growth by the growth rate of imports plus exports (trade openness) and the growth of the domestic expenditure in R&D. Moreover, we use these variables as a part of the information set used by investors to determine the unconditional version of the conditional consumption-capital asset pricing model (CCAPM). Our results show that both trade openness and R&D investment allow the linearized version of the Constantinides-Duffie model and the conditional CCAPM to greatly outperform the classic CCAPM for different sorts of stock portfolios, contributing significantly to reducing pricing errors. Hence, our results constitute a step forward in the attempt to relate asset prices and income inequality in a tractable way.

尽管基于消费的资产定价构成了将资产价格与宏观经济联系起来的坚实工作主体，但大多数实证检验都对代表性投资者的观点提出了质疑。此外，大多数考虑未交易风险的方法，例如康斯坦丁德-达菲模型，都面临着正确量化特殊风险的问题。在本文中，我们利用收入不平等与贸易开放度和研发 (R&D) 投资之间的密切关系，用进口加出口增长率（贸易开放度）和国内经济增长来代表消费增长的横截面方差。研发支出。而且，我们将这些变量作为投资者使用的信息集的一部分来确定有条件消费资本资产定价模型 (CCAPM) 的无条件版本。我们的结果表明，贸易开放度和研发投资都允许 Constantinides-Duffie 模型的线性化版本和条件 CCAPM 在不同类型的股票投资组合中大大优于经典 CCAPM，显着减少了定价错误。因此，我们的结果在尝试以易于处理的方式关联资产价格和收入不平等方面向前迈进了一步。大大减少定价错误。因此，我们的结果在尝试以易于处理的方式关联资产价格和收入不平等方面向前迈进了一步。大大减少定价错误。因此，我们的结果在尝试以易于处理的方式关联资产价格和收入不平等方面向前迈进了一步。