Moral hazard, imperfect risk-sharing, and the behavior of asset returns
构建了一个内生异质性风险的两期一般均衡模型，分析不完全风险分担对资产回报的影响。模型能产生经验上合理的消费异质性风险，并比完全保险模型更真实地刻画资产回报行为，尤其对绝对回报水平影响显著，有助于解释股权溢价之谜。
This paper develops a model of endogenous idiosyncratic risk in a simple two-period general equilibrium setting, and examines its implications for the behavior of asset returns. The model readily generates empirically plausible idiosyncratic risk in consumption and yields more realistic behavior of asset returns than comparable models with perfect insurance. The most dramatic effects of imperfect risk-sharing, however, are not on the spreads between asset returns but on their absolute levels. Overall the results suggest allowing for incomplete markets can contribute to a resolution of the equity premium puzzle.