Generalized Disappointment Aversion and the Variance Term Structure
针对近期实证发现金融市场仅补偿短期权益方差风险的现象，构建了包含广义失望厌恶偏好和罕见事件的均衡模型，解释了方差期限结构的特征，并通过校准同时拟合了权益收益的方差和偏斜风险溢价以及指数期权的隐含波动率偏斜。
Abstract Contrary to leading asset pricing theories, recent empirical evidence indicates that financial markets compensate only short-term equity variance risk. An equilibrium model with generalized disappointment aversion risk preferences and rare events reconciles salient features of the variance term structure. In addition, a calibration explains the variance and skew risk premiums in equity returns and the implied volatility skew of index options while capturing standard moments of fundamentals, equity returns, and the risk-free rate. The key intuition for the results stems from substantial countercyclical risk aversion induced by endogenous variation in the probability of disappointing events in consumption growth.