【摘要】 本文在Campbell and Cochrane(1998)和Brandt and Wang(2001)的研究基础之上利用随机贴现因子对包含习惯的效用函数中的风险厌恶进行了动态一般化分析,并探讨了动态风险厌恶、随机贴现因子、资产定价以及消费增长等因素之间的一般化关系。这种一般化关系有助于解释“股权溢价之谜”(Equity Premium Puzzle)等不合理现象的存在。更多还原

【Abstract】 The paper analyzes the consumption-based asset-pricing problems on a dynamic risk aversion base.Different from Campbell and Cochrane(1998)and Brandt and Wang(2001),which both hypothesize the steady state,this paper suppose that the dynamic risk aversion follows a unit root process of.Also,this paper does not suppose the relevant factors of the forming of consumption habit.So,the result is a general form of the relationship between the asset pricing and dynamic risk aversion.This generalization can help to explain the problems of equity premium puzzle and the people’s decision in a whole economic condition.Finally,this paper shows some econometric methods for future empirical tests of this model.更多还原