資源描述：
《asset pricing empirics》由會員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在工程資料-天天文庫。
1、Chapter14AssetPricingEmpirics14.1.IntroductionInchapter13,werepeatedlyencounteredanobjectthatinthischapterweshallcallastochasticdiscountfactormt+1,namely?γCt+1mt+1=β,(14.1.1)Ctwhereβisadiscountfactor,γisacoe?cientofrelativeriskaversion,andCtistheconsumptionofarepresentativecon
2、sumer.Theassetpricingtheoriesinchapter13canbesummarizedinanutshellasassertingthatforanyassetjtradedbyarepresentativeconsumer,itsoneperiodgrossreturnRj,t+1mustsatisfyEt(mt+1Rj,t+1)=1.(14.1.2)Empirically,forthestochasticdiscountfactor(14.1.1),restriction(14.1.2)failstoworkwellwhe
3、nappliedtodataonreturnsofstocksandrisk-freebonds.MehraandPrescott(1985)calledthisdi?cultythe‘equitypremiumpuzzle.’Asweexplaininthischapter,asubstantialpartoftheproblemisthatwith?γCt+1aggregateU.S.dataforCtand‘reasonable’valuesforγ,Ctissimplyinsu?cientlyvolatile.Thischapter?rstd
4、escribeswhatiscommonlymeantby‘reasonable’valuesforγ.Thenwedescribetheequitypremiumpuzzle,othera?liatedassetpricingpuzzles,andsomeapproachestoexplainingthem.OurmajorthemeishowtomodifythestandardCRRAstochasticdiscountfactor(14.1.1)inwaysthatcanmake(14.1.2)?tkeyfeaturesofthereturn
5、sdatabet-ter.Weshallstudysometheoriesthatincreasethevolatilityofthestochastic?γCt+1discountfactorbymultiplyingβwithavolatilerandomobjectthatCtre?ectseitheraspectsofthepreferencesofarepresentativeconsumerorhet-erogeneityinthedistributionofconsumptionwithinacollectionofconsumers.
6、–515–516AssetPricingEmpirics14.2.Interpretationofrisk-aversionparameterTounderstandwhythemeasuredequitypremiumisapuzzle,itisimportanttointerpretγin(14.1.1),aparameterthatmeasuresattitudesaboutgambles.Economists’prejudicethatreasonablevaluesofthecoe?cientofrelativeriskaversionmu
7、stbebelow3comesfromexperimentsthatconfrontpeoplewithgamblesdrawnfromwellunderstoodprobabilitydistributions.Theasset-pricingliteratureoftenusestheconstantrelativerisk-aversionutilityfunctionC1?γu(C)=.1?γNotethat?Cu(C)γ=,u(C)whichistheindividual’scoe?cientofrelativeriskaversio
8、n.Wewanttointerprettheparameterγintermsofapreferencefo
