Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes
比较了在相同禀赋、先验和信息流但不同市场结构（完全市场与仅交易无风险债券）下，具有异质信念的消费者如何通过投机和学习影响风险市场价格，其中悲观消费者高估灾难概率。
We compare market prices of risk in economies with identical patterns of endowments, priors, and information flows, but two different market structures, one with complete markets, another in which consumers can trade only a single risk-free bond. We study how opportunities to speculate, uncommon priors, and learning affect market prices of risk. Two types of consumers have diverse beliefs about the law of motion for a random exogenous endowment. One type knows the true law of motion while the other type learns about it via Bayes' theorem. Less-well-informed consumers are pessimistic, initially overestimating the probability of a catastrophic state. Learning dynamics and the wealth dynamics that they drive contribute to differences in evolutions of market prices of risk across market structures.