| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26970 |
| 来源ID | Working Paper 26970 |
| Generalized Robustness and Dynamic Pessimism | |
| Pascal J. Maenhout; Andrea Vedolin; Hao Xing | |
| 发表日期 | 2020-04-20 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper develops a theory of dynamic pessimism and its impact on asset prices. Notions of time-varying pessimism arise endogenously in our setting as a consequence of agents’ concern for model misspecification. We generalize the robust control approach of Hansen and Sargent (2001) by replacing relative entropy as a measure of discrepancy between models by the more general family of Cressie-Read discrepancies. As a consequence, the decision-maker’s distorted beliefs appear as an endogenous state variable driving risk aversion, portfolio decisions, and equilibrium asset prices. Using survey data, we estimate time-varying pessimism and find that such a proxy features a strong business cycle component. We then show that using our measure of pessimism helps match salient features in equity markets such as excess volatility and high equity premium. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance |
| URL | https://www.nber.org/papers/w26970 |
| 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/584663 |
| 推荐引用方式 GB/T 7714 | Pascal J. Maenhout,Andrea Vedolin,Hao Xing. Generalized Robustness and Dynamic Pessimism. 2020. |
| 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 | ||
| w26970.pdf（742KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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