Does Smooth Ambiguity Matter for Asset Pricing?

• 成果类型: Article
• 署名作者: Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Manchester
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy118
• 发表日期: 2019
• 页码: 3617
• 关键词: Long-run risks; equity premium; returns; models; volatility; aversion; prices; substitution; equilibrium; uncertainty

摘要

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning, and time-varying volatility are preferred to the longrun risk model. We also analyze asset pricing implications of the estimated models.