Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices

• 成果类型: Article
• 署名作者: Bonomo, Marco; Garcia, Rene; Meddahi, Nour; Tedongap, Romeo
• 署名单位: Universite Catholique de Lille; EDHEC Business School; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Stockholm School of Economics
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq116
• 发表日期: 2011
• 页码: 82
• 关键词: equity premium; intertemporal substitution; prospect-theory; PRICING MODEL; time-series; consumption; expectations; RESOLUTION

摘要

We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-dividend ratios; (ii) less predictability of consumption growth rates by price-dividend ratios. Our results do not depend on a value of the elasticity of intertemporal substitution greater than one.