| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10107 |
| 来源ID | Working Paper 10107 |
| Generalized Disappointment Aversion and Asset Prices | |
| Bryan R. Routledge; Stanley E. Zin | |
| 发表日期 | 2003-11-17 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We provide an axiomatic model of preferences over atemporal risks that generalizes Gul (1991) A Theory of Disappointment Aversion' by allowing risk aversion to be first order' at locations in the state space that do not correspond to certainty. Since the lotteries being valued by an agent in an asset-pricing context are not typically local to certainty, our generalization, when embedded in a dynamic recursive utility model, has important quantitative implications for financial markets. We show that the state-price process, or asset-pricing kernel, in a Lucas-tree economy in which the representative agent has generalized disappointment aversion preferences is consistent with the pricing kernel that resolves the equity-premium puzzle. We also demonstrate that a small amount of conditional heteroskedasticity in the endowment-growth process is necessary to generate these favorable results. In addition, we show that risk aversion in our model can be both state-dependent and counter-cyclical, which empirical research has demonstrated is necessary for explaining observed asset-pricing behavior. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w10107 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567735 |
| 推荐引用方式 GB/T 7714 | Bryan R. Routledge,Stanley E. Zin. Generalized Disappointment Aversion and Asset Prices. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10107.pdf（1530KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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