Where's the Kink? Disappointment Events in Consumption Growth and Equilibrium Asset Prices

• 成果类型: Article
• 署名作者: Delikouras, Stefanos
• 署名单位: University of Miami
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx012
• 发表日期: 2017
• 页码: 2851
• 关键词: long-run; prospect-theory; equity premium; loss aversion; risk premia; returns; BEHAVIOR; models; puzzle; stocks

摘要

I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross-sectional variation in size/ book-to-market portfolios and more than 80% of the variation in the joint sample of stocks, bonds, and commodity futures. I also show that the performance of the disappointment model is comparable to that of the Fama-French three-factor specification, regardless of the sample frequency (annual, quarterly). Overall, my results indicate that disappointment aversion considerably improves the fit of consumption-based asset pricing models.