对消费可预测性的偏好与股票溢价之谜

IF 5.6 2区 经济学 Q1 BUSINESS, FINANCE
Steven P. Cassou , Jesús Vázquez
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引用次数: 0

摘要

本文为股权溢价之谜提供了一个解决方案。我们修改了标准常数相对风险厌恶效用函数,假设有代表性的消费者也对消费可预测性有偏好。在保持随机折现因子的条件均值接近于1的同时,这一特征不仅加强了消费平滑,而且还导致随机折现因子的可变性大幅增加,这对于解决这个谜题至关重要。在我们改进的模型中,随机贴现因子的变异性的大幅增加主要是由较大的、已实现的消费预测误差决定的。虽然这些过大的预测误差很少出现,但当它们出现时,它们会导致对风险的高度厌恶,并增强对平滑消耗的兴趣。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Preference for consumption predictability and the equity premium puzzle
This paper provides a solution to the equity premium puzzle. We modify the standard constant relative risk aversion utility function by assuming that the representative consumer also has a preference for consumption predictability. While keeping the conditional mean of the stochastic discount factor close to one, this feature not only reinforces consumption smoothing, but it also results in large increases in the variability of the stochastic discount factor which is crucial for this solution to the puzzle. The large increase in variability for the stochastic discount factor in our modified model is primarily determined by large, realized consumption forecast errors. Although these oversized forecast errors arise infrequently, when they do arise, they result in very high aversion to risk and enhanced interest in smoothing consumption.
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来源期刊
CiteScore
7.30
自引率
2.20%
发文量
253
期刊介绍: The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.
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