Asset‐pricing Puzzles and Incomplete Markets
修改了代表性代理人资产定价模型，引入异质性代理人和不完全市场，发现仅通过无风险借贷就能分散大部分个体收入风险，且不完全市场无法解释资产回报的异常特征。
ABSTRACT The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution ( Hansen and Jagannathan (1991) ) are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory.