A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
在递归效用框架下分析资产价格，发现从期望效用推广到递归效用能显著解释股权溢价之谜，并推导出消费增长与资产收益联合分布的全部含义。
This paper considers a representative agent model of asset prices based on a recursive utility specification. A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions. A principal contribution is to determine the exhaustive implications of this semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns. It is also shown, in contrast to the claims of previous studies, that the generalization from expected utility to recursive utility contributes substantially to the resolution of the equity premium puzzle. Copyright 1995 by The Review of Economic Studies Limited.