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1、Chapter14AssetPricingEmpirics14.1.IntroductionInchapter13,werepeatedlyencounteredanobjectthatinthischapterweshallcallastochasticdiscountfactormt+1,namely−γCt+1mt+1=β,(14.1.1)Ctwhereβisadiscountfactor,γisacoefficientofrelativeriskaversion,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)calledthisdifficultythe‘equitypremiumpuzzle.’Asweexplaininthischapter,asubstantialpartoftheproblemisthatwith−γCt+1aggregateU.S.dataforCtand‘reasonable’valuesforγ,Ctissimplyinsufficientlyvolatile.Thischapterfirstd
4、escribeswhatiscommonlymeantby‘reasonable’valuesforγ.Thenwedescribetheequitypremiumpuzzle,otheraffiliatedassetpricingpuzzles,andsomeapproachestoexplainingthem.OurmajorthemeishowtomodifythestandardCRRAstochasticdiscountfactor(14.1.1)inwaysthatcanmake(14.1.2)fitkeyfeaturesofthereturn
5、sdatabet-ter.Weshallstudysometheoriesthatincreasethevolatilityofthestochastic−γCt+1discountfactorbymultiplyingβwithavolatilerandomobjectthatCtreflectseitheraspectsofthepreferencesofarepresentativeconsumerorhet-erogeneityinthedistributionofconsumptionwithinacollectionofconsumers.
6、–515–516AssetPricingEmpirics14.2.Interpretationofrisk-aversionparameterTounderstandwhythemeasuredequitypremiumisapuzzle,itisimportanttointerpretγin(14.1.1),aparameterthatmeasuresattitudesaboutgambles.Economists’prejudicethatreasonablevaluesofthecoefficientofrelativeriskaversionmu
7、stbebelow3comesfromexperimentsthatconfrontpeoplewithgamblesdrawnfromwellunderstoodprobabilitydistributions.Theasset-pricingliteratureoftenusestheconstantrelativerisk-aversionutilityfunctionC1−γu(C)=.1−γNotethat−Cu(C)γ=,u(C)whichistheindividual’scoefficientofrelativeriskaversio
8、n.Wewanttointerprettheparameterγintermsofapreferencefo
