在结构断裂下误学因子风险多报:一个错误的贝叶斯学习框架

Mislearning of Factor Risk Premia under Structural Breaks: A Misspecified Bayesian Learning Framework

While asset-pricing models increasingly recognize that factor risk premia are subject to structural change, existing literature typically assumes that investors correctly account for such instability. This paper asks what happens when investors instead learn under a misspecified model that underestimates structural breaks. We propose a minimal Bayesian framework in which this misspecification generates persistent prediction errors and pricing distortions, and we introduce an empirically tractabl