Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?
在标准卢卡斯资产定价模型中引入代表性代理人的主观信念扭曲，通过平均悲观和乐观偏差匹配股权溢价、无风险利率及超额收益的持久性和可预测性，对股权溢价之谜提供新解释。
We study a Lucas asset-pricing model that is standard in all respects, except that the representative agent's subjective beliefs about endowment growth are distorted. Using constant relative risk-aversion (CRRA) utility, with a CRRA coefficient below 10; fluctuating beliefs that exhibit, on average, excessive pessimism over expansions; and excessive optimism over contractions (both ending more quickly than the data suggest), our model is able to match the first and second moments of the equity premium and risk-free rate, as well as the persistence and predictability of excess returns found in the data.