Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion
构建了一个经济模型，其中总风险厌恶是随机的、外生的且依赖于信念。代表性消费者根据对增长状态不确定性的预期做出消费和投资决策，并因偏好风险和消费风险获得补偿。模型在股票回报截面检验中产生较小的无条件欧拉误差，并发现基于丰富数据信息过滤的条件定价能显著改善定价效果。
Abstract I present an economy where aggregate risk aversion is stochastic, exogenous, and beliefs-dependent. The preferences are conditionally isoelastic álaGordon and St-Amour (2004). Representative consumer forms expectations about aggregate aversion to growth states’ uncertainty and makes beliefs-contingent consumption and investment decisions. The consumer is rewarded for preferences risk in addition to consumption risk. The consumer’s attitudes toward uncertainty about the business cycle are countercyclical, mildly volatile, with volatility clustering in periods of economic bust. When evaluated on cross-sections of stock returns, the model generates economically small unconditional Euler errors. This article presents new evidence that conditioning on a data rich information filtration leads to substantial pricing improvements. There is increased volatility and clustering around recessions in information poor environment.