Endogenous Labor/Leisure/Investment Choice under Time Constraints
研究将管理风险投资所需的时间机会成本（放弃劳动或休闲）作为股权溢价之谜的潜在解释，构建了时间约束下的劳动、休闲与投资选择模型，发现即使很小的时间成本也能产生与美国股市历史数据一致的超额收益和波动率。
Abstract We posit the opportunity cost of time required to manage risky investments, including conducting research and performance monitoring, as a potential explanation for the equity premium puzzle. An economic agent, who should allocate a limited amount of time to labor, leisure, and risky investment, is subject to the opportunity time cost of investment activity, which is foregone labor or leisure. Our model envisages its impact on equity premium and volatility in the presence of such a time constraint, in particular, with closed-form solutions to the risky asset returns, volatility, and risk-free rate in a simple equilibrium framework wherein agents have log utility. The model is shown to yield excess return and volatility consistent with historical values observed in the U.S. stock market, even with a small amount of time cost. In addition, the model enables us to sort out the impact of endogenous labor/leisure choice on return dynamics by comparing it with the exogenous labor income case.