Ambiguity Aversion and Asset Prices in Production Economies

• 成果类型: Article
• 署名作者: Jahan-Parvar, Mohammad R.; Liu, Hening
• 署名单位: 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/hhu037
• 发表日期: 2014
• 页码: 3060
• 关键词: long-run; returns; RISK; consumption; beliefs; substitution; expectations; uncertainty; MODEL; too

摘要

We examine a production-based asset-pricing model with an unobservable mean growth rate following a two-state Markov chain and with an ambiguity-averse representative agent. Our model requires a low coefficient of relative risk aversion to produce: (i) a high equity premium and volatile equity returns, (ii) a low and smooth risk-free rate, (iii) smooth consumption growth and volatile investment growth, (iv) countercyclical equity premium and market price of risk, (v) conditional heteroscedasticity in returns, and (vi) long-horizon predictability of excess returns.