We structurally estimate an investment-based asset pricing model, in which firms' exposure to macroeconomic risk is unknown. Bayesian beliefs about this parameter are updated from firms' and industry peers' comovement between their productivity and consumption growth. The model implies that discount rates rise endogenously with the perceived risk exposure of firms, thereby depressing investment and valuation ratios. We test these predictions in the data and find strong support for them. We also confirm that cross-sectional learning from peers is crucial and that alternative Bayesian risk estimates, which ignore peer observations, do not predict firm variables.

我们结构性地估计了基于投资的资产定价模型，其中企业面临的宏观经济风险未知。关于该参数的贝叶斯信念是根据企业和行业同行的生产率和消费增长之间的联动来更新的。该模型表明，贴现率随着企业感知的风险暴露而内生上升，从而压低投资和估值比率。我们在数据中测试这些预测并找到对它们的有力支持。我们还证实，向同行进行横向学习至关重要，而忽略同行观察的替代贝叶斯风险估计不能预测公司变量。