A Utility‐Based Model of Common Stock Price Movements
构建并检验了一个基于常相对风险厌恶效用函数的非线性计量模型，利用消费、股息和过去股价等数据解释股票价格变动，发现该模型比固定贴现率模型更符合实际，并估计出代表性投资者的相对风险厌恶系数为4.22。
ABSTRACT This paper develops and tests a nonlinear utility‐based econometric model of the temporal behavior of aggregate stock price movements based on a constant relative risk aversion utility function and an observable information set consisting of aggregate consumption, aggregate dividends, and past stock prices. The stochastic process derived from time‐series analyses of consumption and dividends measured over annual intervals is used to derive and empirically test a closed‐form solution for stock‐price movements. The endogenization of discount rate changes in the utility‐based model is shown to be more consistent with aggregate stock price movements over a twenty‐year holdout period than constant discount rate models. The model is also used to estimate the representative investor's relative risk aversion. The estimate of 4.22 is consistent with that used by Grossman and Shiller in their perfect foresight model and is significantly higher than the relative risk aversion of 1.0 implied by logarithmic utility.