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1、LearningandAssetPricesUnderAmbiguousInformationMarkusLeippoldTanakaBusinessSchool,ImperialCollegeLondonFabioTrojaniSwissInstituteofBankingandFinance,UniversityofSt.GallenPaoloVaniniDownloadedfromZurichCantonalBankInaLucasexchangeeconomywithstandardpowerutility,westudyassetpricesunderle
2、arningandambiguousinformation.Incontrastwithmodelsfeaturingonlylearningorambiguity,ourmodelissuccessfulinmatchingtheequitypremium,http://rfs.oxfordjournals.org/theinterestrate,andthevolatilityofstockreturnsunderempiricallyreasonableparameters.Ourclosed-formformulasalsoshowthataseveredo
3、wnwardbiasarisesintheempiricalrelationbetweenstockreturnsandreturnvolatility.Wequantifythisbiasinsimulationsandshowthatourmodelcanexplainwhysucharelationisdifficulttodetectinthedata.(JELG1,G11,G12)Theequitypremiumpuzzle,theinterestratepuzzle,andtheexcessatHarvardUniversityonDecember3,20
4、12volatilityarewell-knownempiricalfailuresoftheconsumptioncapitalassetpricingmodelpioneeredbyLucas(1978)andBreeden(1979).Inthisarticle,wepresentanextensionoftheLucasexchangeeconomythathelpsexplainthesepuzzlesinasettingoflearningandambiguity(Knightianuncertainty)aversion.Moreover,weshow
5、thatlearningandambiguityaversionimplyanonlinearequilibriumtrade-offbetweenriskandreturn,whichgeneratesaseveredownwardbiasintheempiricalrelationbetweenstockreturnsandreturnsvolatility.Modelsofpurelearningcanexplainexcessvolatility,buttheycanmaketheequitypremiumevenmoreofapuzzle[see,e.g.
6、Veronesi(2000)].WearegratefultoAndrewAbel,TobiasMoskowitz(theeditor),andananonymousrefereeformanyvaluablesuggestions.WealsothankFreddyDelbaen,DavidFeldman,GunterFranke,RajnaGibson,¨JensJackwerth,YvanLengwiler,MarcoLiCalzi,AbrahamLioui,AlessandroSbuelz,SandraSizer,PietroVeronesi,YihongX
7、ia,theparticipantsofthe2004EuropeanSummerSymposiuminFinancialMarketsinGerzensee,the2005InternationalFinanceConferenceattheUniversityofCopenhagen,theEFMA2006(Madrid),andofthefinanceseminarsattheUniversityofBasel,theUniversityofKonstanz,theUniversityofFrankfurt,theUniversityofVenice,the
