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1、THEJOURNALOFFINANCE.VOL.LVII,NO.4.AUGUST2002RationalAssetPricesGEORGEM.CONSTANTINIDES*ABSTRACTThemean,covariability,andpredictabilityofthereturnofdifferentclassesoffinancialassetschallengetherationaleconomicmodelforanexplanation.Theunconditionalmeanaggregateequitypremiumisalmostsevenpercentp
2、eryearandremainshighafteradjustingdownwardsthesamplemeanpremiumbyintroducingpriorbeliefsaboutthestationarityoftheprice–dividendratioandthe~non!forecastabilityofthelong-termdividendgrowthandprice–dividendratio.Recognitionthatidiosyncraticincomeshocksareuninsurableandconcentratedinrecessionsco
3、ntributestowardanexplanation.Alsoborrowingconstraintsovertheinvestors’lifecyclethatshiftthestockmarketrisktothesavingmiddle-agedconsumerscontributetowardanexplanation.Acentralthemeinfinanceandeconomicsisthepursuitofaunifiedtheoryoftherateofreturnacrossdifferentclassesoffinancialassets.Inpart
4、icular,weareinterestedinthemean,covariability,andpredictabilityofthereturnoffinancialassets.Atthemacrolevel,westudytheshort-termrisk-freerate,thetermpremiumoflong-termbondsovertherisk-freerate,andtheaggregateequitypremiumofthestockmarketovertherisk-freerate.Atthemicrolevel,westudythepremiumo
5、findividualstockreturnsandofclassesofstocks,suchasthesmall-capitalizationversuslarge-capitalizationstocks,the“value”versus“growth”stocks,andthepastlosingversuswinningstocks.Theneoclassicalrationaleconomicmodelisaunifiedmodelthatviewsthesepremiaastherewardtorisk-averseinvestorsthatprocessinfo
6、rmationrationallyandhaveunambiguouslydefinedpreferencesoverconsumptionthattypically~butnotnecessarily!belongtothevonNeumann–Morgensternclass.Naturally,thetheoryallowsformarketincompleteness,marketimperfections,informationalasymmetries,andlearning.Thetheoryalsoallowsfordifferencesamongassetsf
7、orliquidity,transactioncosts,taxstatus,andotherinstitutionalfactors.Thecauseofmuchanxietyoverthelastquarterofacenturyisevidenceinterpretedasfailureoftherationaleconomicparadigmtoexplainthepricelevelandtherateofreturnoffinancialassetsbothatthemacroa
