Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
提出了一个包含广义失望厌恶偏好和长期波动风险的资产定价模型，用马尔可夫切换基础变量推导出所有回报矩和可预测性回归的闭式解，解释了价格-股息比和资产回报的矩以及回报可预测性模式。
We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of price-dividend ratios and asset returns as well as return predictability patterns in line with the data. Compared to Bansal and Yaron (2004), we generate (i) more predictability of excess returns by price-dividend ratios; (ii) less predictability of consumption growth rates by price-dividend ratios. Our results do not depend on a value of the elasticity of intertemporal substitution greater than one. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.