问题如下图：
选项：
A. 
B. 
C. 
解释：
李宗_品职助教 · 2018年01月10日
哈喽童鞋，你可以这样理解哈：
1）既然要求更多的 equity risk premium，那么就肯定会要求更多的 equity return 作为补偿，equity return 和 经济增长是正相关，因此这位投资者对经济正相关的 exposure 会变大。
2）未来的边际效用MU和未来的消费水平是负相关的，因此替代率m是和未来消费水平呈负相关。
3）替代率m和经济增长呈负相关（经济好的时候，大家都愿意当期消费而不是储蓄，m降低，反之经济差的时候，大家偏向储蓄）
4）结合2），3）：未来消费水平和经济增长呈正相关，
5）结合4），1）：未来消费水平和equity return呈正相关
NO.PZ2015121810000042问题如下Risk-averse investors manng a large equity risk premium are most likely expecting their future consumption outcomes anequity returns to be:A.uncorrelateB.positively correlateC.negatively correlateB is correct.If investors manhigh equity risk premiums, they are likely expecting their future consumption anequity returns to positively correlate The positive correlation incates thequities will exhibit poor heing properties, equity returns will high (e.g., poff) ring \"gootimes\" anwill low (e.g., not poff) ring \"btimes\". In other wor, the covarianbetween risk-averse investors’ inter-temporrates of substitution anthe expectefuture prices of equities is highly negative, resulting in a positive anlarge equity risk premium. This is the case because, in gootimes, when equity returns are high, the marginvalue of consumption is low. Similarly, in btimes, when equity returns are low, the marginvalue of consumption is high. Holng all else constant, the larger the magnitu of the negative covarianterm, 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。老师好，我看题目问的是risk premium和未来消费（经济趋势）的相关性，老师在其他同学的提问里也回复了如下内容在经济差的情况下，消费水平会自然下跌，股票在经济差的时候也会跌，这时候无法通过卖股票获得收益维持消费水平，所以股票不能对冲风险（bconsumption hee），这个时候要求的RP就需要很高。按照上面回复理解，经济差的情况下，要求的RP很高，这就是negative correlate，为什么答案是positive correlate？谢谢！
NO.PZ2015121810000042 问题如下 Risk-averse investors manng a large equity risk premium are most likely expecting their future consumption outcomes anequity returns to be: A.uncorrelate B.positively correlate C.negatively correlate B is correct.If investors manhigh equity risk premiums, they are likely expecting their future consumption anequity returns to positively correlate The positive correlation incates thequities will exhibit poor heing properties, equity returns will high (e.g., poff) ring \"gootimes\" anwill low (e.g., not poff) ring \"btimes\". In other wor, the covarianbetween risk-averse investors’ inter-temporrates of substitution anthe expectefuture prices of equities is highly negative, resulting in a positive anlarge equity risk premium. This is the case because, in gootimes, when equity returns are high, the marginvalue of consumption is low. Similarly, in btimes, when equity returns are low, the marginvalue of consumption is high. Holng all else constant, the larger the magnitu of the negative covarianterm, 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。 future consumption outcome = marginvalue of consumption?
NO.PZ2015121810000042 问题如下 Risk-averse investors manng a large equity risk premium are most likely expecting their future consumption outcomes anequity returns to be: A.uncorrelate B.positively correlate C.negatively correlate B is correct.If investors manhigh equity risk premiums, they are likely expecting their future consumption anequity returns to positively correlate The positive correlation incates thequities will exhibit poor heing properties, equity returns will high (e.g., poff) ring \"gootimes\" anwill low (e.g., not poff) ring \"btimes\". In other wor, the covarianbetween risk-averse investors’ inter-temporrates of substitution anthe expectefuture prices of equities is highly negative, resulting in a positive anlarge equity risk premium. This is the case because, in gootimes, when equity returns are high, the marginvalue of consumption is low. Similarly, in btimes, when equity returns are low, the marginvalue of consumption is high. Holng all else constant, the larger the magnitu of the negative covarianterm, 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。 题干没读明白，另外future consumption outcomes 这个是啥意思，是未来消费的意思吗？
NO.PZ2015121810000042问题如下Risk-averse investors manng a large equity risk premium are most likely expecting their future consumption outcomes anequity returns to be:A.uncorrelateB.positively correlateC.negatively correlateB is correct.If investors manhigh equity risk premiums, they are likely expecting their future consumption anequity returns to positively correlate The positive correlation incates thequities will exhibit poor heing properties, equity returns will high (e.g., poff) ring \"gootimes\" anwill low (e.g., not poff) ring \"btimes\". In other wor, the covarianbetween risk-averse investors’ inter-temporrates of substitution anthe expectefuture prices of equities is highly negative, resulting in a positive anlarge equity risk premium. This is the case because, in gootimes, when equity returns are high, the marginvalue of consumption is low. Similarly, in btimes, when equity returns are low, the marginvalue of consumption is high. Holng all else constant, the larger the magnitu of the negative covarianterm, 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。两个类似的题目都一再强调投资者风险厌恶，且要求大量的风险溢价，这个与“股票表现和消费同向变动”有逻辑联系吗？还是说只是干扰信息？题目能做对，就是觉怀疑自己是不是没理解透。
NO.PZ2015121810000042 我想的是未来经济差，风险就高，所以要求的对风险的补偿就高，经济和风险补偿之间就是反比关系。但是这里问的是equity return，equity return是指Pt+1-Pt，这个是跟risk premium是反比是么？ 所以答案是反向关系。我这么理解对吗？