Learning and Asset Prices Under Ambiguous Information

• 成果类型: Article
• 署名作者: Leippold, Markus; Trojani, Fabio; Vanini, Paolo
• 署名单位: Imperial College London; University of St Gallen
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm035
• 发表日期: 2008
• 页码: 2565
• 关键词: STOCK RETURNS; market participation; long-run; MODEL; equilibrium; consumption; volatility; Robustness; RISK; news

摘要

In a Lucas exchange economy with standard power utility, we study asset prices under learning and ambiguous information. In contrast with models featuring only learning or ambiguity, our model is successful in matching the equity premium, the interest rate, and the volatility of stock returns under empirically reasonable parameters. Our closed-form formulas also show that a severe downward bias arises in the empirical relation between stock returns and return volatility. We quantify this bias in simulations and show that our model can explain why such a relation is difficult to detect in the data.