We use option prices and realized returns to decompose risk premia into different parts of the return state space. In the data, 8/10 of the average equity premium is attributable to monthly returns below −10%, but returns below −30% matter very little. In contrast, prominent asset pricing models based on habits, long-run risks, rare disasters, undiversifiable idiosyncratic risk, and constrained intermediaries attribute the premium predominantly to returns above −10% or to the extreme left tail. We show that the discrepancy arises from an unrealistically small price of risk for stock market tail events in the models.

中文翻译：

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剖析股权溢价

我们使用期权价格和已实现收益将风险溢价分解为收益状态空间的不同部分。在数据中，平均股票溢价的 8/10 归因于低于 -10% 的月回报率，但低于 -30% 的回报率影响不大。相比之下，基于习惯、长期风险、罕见灾难、不可分散的特殊风险和受限中介的著名资产定价模型主要将溢价归因于高于 -10% 的回报或极左尾。我们表明，这种差异源于模型中股票市场尾部事件的风险价格不切实际地小。