Likelihood Evidence on the Asset Returns Puzzle
针对1889-1978年间标准均衡模型无法解释的资产回报谜题，提出一种能兼容尖峰厚尾特征的产出正态尺度混合随机过程，并通过基于似然的方法证明观测到的资产回报与模型后验分布一致。
Standard equilibrium models are unable to replicate the average return on equity and the risk-free rate during 1889-1978, the well-known asset returns puzzle. The present paper, motivated by the excess of outliers in the data, proposes a normal-scale mixture stochastic process for output that is compatible with leptokurtosis. Using formal likelihood-based methods, it is shown that observed asset returns are compatible with posterior distributions implied by the model. Copyright 2005, Wiley-Blackwell.