Heterogeneity in Beliefs and Volatility Tail Behavior
提出一个波动率尾部行为模型，投资者厌恶低波动和高波动状态，信念异质性导致定价核在波动率维度上既有递增也有递减区域，模型能更好拟合波动率左尾数据特征。
Abstract We propose a model of volatility tail behavior in which investors display aversion to both low-volatility and high-volatility states, and hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes and maximize their utility by choosing volatility-contingent cash flows. Our empirical examination suggests that the model is better suited to reproduce data features in the left tail of the volatility distribution, both qualitatively and quantitatively.