The sensitivity of risk premiums to the elasticity of intertemporal substitution
将参考点依赖偏好引入基于消费的资产定价模型，发现跨期替代弹性通过预防性储蓄动机更敏感地影响资产价格，有助于解释高波动且逆周期的股权溢价、低无风险利率以及向下倾斜的期限结构。
Abstract This paper incorporates reference‐dependent preferences into a consumption‐based asset pricing model featuring Epstein–Zin utility. Three relevant results emerge from this extension. First, agents prefer the late resolution of uncertainty in recursive utility. Second, the late resolution of uncertainty helps replicate the downward‐sloping term structure of market excess return. Third, the intertemporal substitution elasticity is more sensitive to asset prices through increasing precautionary saving motivations. A closed‐form solution for the proposed model largely explains (i) high, volatile, and countercyclical equity premiums; (ii) low risk‐free rates; and (iii) the downward‐sloping term structure of equity premiums and variance ratios.