Where’s the Kink? Disappointment Events in Consumption Growth and Equilibrium Asset Prices
提出一个包含失望厌恶的消费资产定价模型，发现该模型能解释股票、债券和商品期货中超过80%的预期收益横截面变化，表现与Fama-French三因子模型相当。
I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross-sectional variation in size/book-to-market portfolios and more than 80% of the variation in the joint sample of stocks, bonds, and commodity futures. I also show that the performance of the disappointment model is comparable to that of the Fama-French three-factor specification, regardless of the sample frequency (annual, quarterly). Overall, my results indicate that disappointment aversion considerably improves the fit of consumption-based asset pricing models.Received November 27, 2014; editorial decision September 18, 2016 by Editor Stefan Nagel.