Generalized Disappointment Aversion and Asset Prices

• 成果类型: Article
• 署名作者: Routledge, Bryan R.; Zin, Stanley E.
• 署名单位: Carnegie Mellon University; New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01571.x
• 发表日期: 2010
• 页码: 1303-1332
• 关键词: equity premium; risk-aversion; prospect-theory; long-run; consumption; preferences; uncertainty; RESOLUTION

摘要

We characterize generalized disappointment aversion (GDA) risk preferences that can overweight lower-tail outcomes relative to expected utility. We show in an endowment economy that recursive utility with GDA risk preferences generates effective risk aversion that is countercyclical. This feature comes from endogenous variation in the probability of disappointment in the representative agent's intertemporal consumption-saving problem that underlies the asset pricing model. The variation in effective risk aversion produces a large equity premium and a risk-free rate that is procyclical and has low volatility in an economy with a simple autoregressive endowment-growth process.