The Interaction between Nonexpected Utility and Asymmetric Market Fundamentals
研究了一个非期望效用的一般均衡资产定价模型，其中市场基础因素服从双变量马尔可夫转换过程。模型能精确匹配无风险利率和风险溢价的均值，并生成两者间的负样本相关性，与美国数据的五个一阶和二阶矩一致。
This paper studies a nonexpected utility, general equilibrium asset pricing model in which market fundamentals follow a bivariate Markov switching process. The results show that nonexpected utility is capable of exactly matching the means of the risk-free rate and the risk premium. Asymmetric market fundamentals are capable of generating a negative sample correlation between the risk-free rate and the risk premium. Moreover an equilibrium asset pricing model endowed with asymmetric market fundamentals is consistent with all five first and second moments of the risk-free rate and the risk premium in the U.S. data.