Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility

• 成果类型: Article
• 署名作者: Jeong, Daehee; Kim, Hwagyun; Park, Joon Y.
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School; Korea Development Institute (KDI); Indiana University System; Indiana University Bloomington; Sungkyunkwan University (SKKU)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.10.003
• 发表日期: 2015
• 页码: 361-382
• 关键词: Recursive utility; Stochastic differential utility; multiple priors; ambiguity aversion; Continuous-time conditional mean model; Martingale regression; time change; Mixed frequency data

摘要

This paper considers asset pricing models with stochastic differential utility incorporating decision makers' concern with ambiguity on true probability measure. Under a representative agent setting, we empirically evaluate alternative preference specifications including a multiple-priors recursive utility. We find that relative risk aversion is estimated around 1-8 with ambiguity aversion and 7.4-15 without ambiguity aversion. Estimated ambiguity aversion is both economically and statistically significant and can explain up to 45% of the average equity premium. The elasticity of intertemporal substitution is higher than one, but its identification appears to be weak, as observed by previous authors. (c) 2014 Elsevier B.V. All rights reserved.