EXPECTATIONS-BASED REFERENCE-DEPENDENT PREFERENCES AND ASSET PRICING
在传统Lucas树模型中引入基于期望的参照依赖偏好，发现校准后的模型能匹配历史股权溢价及其波动性，但导致无风险利率波动过大，并通过多种扩展加以改进。
This paper explores the quantitative asset-pricing implications of expectations-based reference-dependent preferences, as introduced by Koszegi and Rabin (2009, American Economic Review, 99(3), 909–936), in an otherwise traditional Lucas-tree model. I find that the model easily succeeds in matching the historical equity premium and its variability when the preference parameters are calibrated in line with micro evidence. The equity premium is high because expectations-based loss aversion makes uncertain fluctuations in consumption more painful. Additionally, loss aversion introduces variation in returns because unexpected cuts in consumption are particularly painful, and the agent wants to postpone such cuts to let his reference point decrease. This variation generates strong predictability. However, it also causes counterfactually high volatility in the risk-free rate, which I address by allowing for variation in expected consumption growth, heteroskedasticity in consumption growth, time-variant disaster risk, and sluggish belief updating