Informational Asymmetry and Market Imperfections: Another Solution to the Equity Premium Puzzle
构建了一个包含市场摩擦和信息不对称的均衡资产定价模型，解释了股权溢价难题和无风险利率之谜，指出投资者间的信息不对称和分散化不足是导致高股权溢价的主要原因。
This paper develops an equilibrium asset pricing model to explain the equity premium puzzle and the risk-free rate puzzle by allowing for both market frictions and informa? tional asymmetry. The paper argues that much of the high equity premium in the Mehra and Prescott (1985) sample period can be explained by informational asymmetry among investors and the inability of many investors to diversify their portfolios. With admissible relative risk aversion coefficient 7, the model matches various key statistics quite well. The paper implies that with the development of mutual funds, the equity premium should decline as has been the case since the 1950s.