Are behavioral asset-pricing models structural?

• 成果类型: Article
• 署名作者: Zin, SE
• 署名单位: Carnegie Mellon University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(01)00101-5
• 发表日期: 2002
• 页码: 215-228
• 关键词: asset-pricing; behavioral finance; structural models

摘要

The recent increase in interest in so-called behavioral models of asset-pricing is motivated partly by the desire to have models that appear realistic in light of experimental evidence, and partly by their success in moment-matching exercises. This paper argues that the attention given to these two criteria misses perhaps the most important aspect of the modeling exercises. That is, the search for parameters that are invariant to changes in the economic environment. It is precisely this invariance that motivates the use of a tightly parameterized general equilibrium model. Assessing a model on this dimension is difficult and, as the paper argues through the use of suggestive examples, will undoubtedly require strong subjective judgments about the reasonableness of preference assumptions. Such judgments are routinely made about the reasonableness of assumptions about stochastic endowryients. The paper suggests that more effort be applied to understanding aggregation in these models and to the exploration of behavioral assumptions in a less flexible but less corruptible time-stationary recursive class of preferences. (C) 2002 Published by Elsevier Science B.V.