标题： 噪声、风险溢价和泡沫 显示英文标题

标题： Noise, risk premium, and bubble

摘要： 定价核的存在被证明意味着存在一个环境信息过程，该过程生成市场过滤器。 该信息过程包括一个关于随机变量X价值的信号部分，可以解释为未来现金需求的时间，以及一个独立的噪声部分。 特别是，信号的条件期望决定了市场风险溢价向量。 对信号添加任何与X无关的项，该项在噪声中产生漂移，被证明会改变物理测度中的价格过程的漂移，而不会影响当前资产价格水平。 这种噪声项中的漂移可能会导致异常的价格动态，并可以用来解释观察到的股权溢价和金融泡沫现象。 显示英文摘要

摘要： The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X that can be interpreted as the timing of future cash demand, and an independent noise component. The conditional expectation of the signal, in particular, determines the market risk premium vector. An addition to the signal of any term that is independent of X, which generates a drift in the noise, is shown to change the drifts of price processes in the physical measure, without affecting the current asset price levels. Such a drift in the noise term can induce anomalous price dynamics, and can be seen to explain the mechanism of observed phenomena of equity premium and financial bubbles.