Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty

• 成果类型: Article
• 署名作者: Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C.
• 署名单位: University of Southern California; Federal Reserve System - USA; Federal Reserve Bank - New York; University of Oxford; Centre for Economic Policy Research - UK; University of London; London Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae049
• 发表日期: 2024
• 页码: 3272
• 关键词: GENERALIZED DISAPPOINTMENT AVERSION; term structure; long-run; stock-market; optimal inattention; habit formation; asset; preferences; returns; INFORMATION

摘要

Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. In addition, our model addresses two challenges to the standard model. Calibrating the agents' preferences to explain the equity premium no longer implies an extreme preference for early resolutions of uncertainty. Horizon-dependent risk aversion helps resolve key puzzles in finance on the valuation of assets across maturities and captures the term structure of equity risk premiums and its dynamics.