Ambiguity, Learning, and Asset Returns

• 成果类型: Article
• 署名作者: Ju, Nengjiu; Miao, Jianjun
• 署名单位: Hong Kong University of Science & Technology; Shanghai Jiao Tong University; Boston University; Zhejiang University; Central University of Finance & Economics
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA7618
• 发表日期: 2012
• 页码: 559-591
• 关键词: risk-free rate; equity premium; stock-prices; information quality; model uncertainty; mean reversion; long-run; equilibrium; aversion; expectations

摘要

We propose a novel generalized recursive smooth ambiguity model which permits a three-way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We apply this utility model to a consumption-based asset-pricing model in which consumption and dividends follow hidden Markov regime-switching processes. Our calibrated model can match the mean equity premium, the mean risk-free rate, and the volatility of the equity premium observed in the data. In addition, our model can generate a variety of dynamic asset-pricing phenomena, including the procyclical variation of pricedividend ratios, the countercyclical variation of equity premia and equity volatility, the leverage effect, and the mean reversion of excess returns. The key intuition is that an ambiguity-averse agent behaves pessimistically by attaching more weight to the pricing kernel in bad times when his continuation values are low.