Ambiguity Aversion and Asset Prices in Production Economies
研究了生产经济中代表性代理人模糊厌恶对资产价格的影响，模型用不可观测的两状态马尔可夫链描述平均增长率，仅需低风险厌恶系数就能解释股权溢价、无风险利率、消费与投资增长、风险价格周期性和收益可预测性等六个典型事实。
We examine a production-based asset-pricing model with an unobservable mean growth rate following a two-state Markov chain and with an ambiguity-averse representative agent. Our model requires a low coefficient of relative risk aversion to produce: (i) a high equity premium and volatile equity returns, (ii) a low and smooth risk-free rate, (iii) smooth consumption growth and volatile investment growth, (iv) countercyclical equity premium and market price of risk, (v) conditional heteroscedasticity in returns, and (vi) long-horizon predictability of excess returns.