The Interaction between Nonexpected Utility and Asymmetric Market Fundamentals
构建了一个非期望效用的一般均衡资产定价模型，其中市场基本面服从双变量马尔可夫切换过程。模型能精确匹配无风险利率和风险溢价的均值，不对称市场基本面可产生两者间的负样本相关性，且与美国数据的五个一阶和二阶矩一致。
ABSTRACT This paper studies a nonexpected utility, general equilibrium asset pricing model in which market fundamentals follow a bivariate Markov switching process. The results show that nonexpected utility is capable of exactly matching the means of the risk‐free rate and the risk premium. Asymmetric market fundamentals are capable of generating a negative sample correlation between the risk‐free rate and the risk premium. Moreover, an equilibrium asset pricing model endowed with asymmetric market fundamentals is consistent with all five first and second moments of the risk‐free rate and the risk premium in the U.S. data.