Revisiting Asset Pricing Puzzles in an Exchange Economy

• 成果类型: Article
• 署名作者: Parlour, Christine A.; Stanton, Richard; Walden, Johan
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq130
• 发表日期: 2011
• 页码: 629
• 关键词: EQUITY PREMIUM PUZZLE; stock-prices; Speculative bubbles; habit formation; long-run; utility; RISK; consumption; returns; expectations

摘要

We show that several well-known asset pricing puzzles are largely mitigated if we endow the representative agent with an arbitrarily small minimum consumption level. This allows us to solve the model for parameter values where the standard Lucas tree model is not defined. For these parameters, disasters become more important, and the market risk premium therefore higher, even though consumption is less risky. Our model yields reasonable risk premia, Sharpe ratios, and discount rates; excess price volatility; and a high market price-dividend ratio. We derive closed-form solutions for all variables of interest.