Asset Pricing Implications of Pareto Optimality with Private Information
Asset Pricing Implications of Pareto Optimality with Private Information
复制标题
具有私人信息的帕累托最优性的资产定价含义
DOI：
10.1086/599761
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发表时间：
2005
影响因子：
8.2
通讯作者：
Luigi Pistaferri
中科院分区：
文献类型：
--
作者：
N. Kocherlakota;Luigi Pistaferri
我们比较了一个标准的不完全市场资产定价模型和一个新的约束帕累托最优配置模型的经验绩效。我们用消费的横截面分布来表示模型的随机贴现因子，并使用这些表示来评估模型的经验含义。第一种模型与美国、英国和意大利的股权溢价不一致。当相对避险系数约为5，季度贴现率小于0.5时，第二个模型与三个国家的股权溢价和无风险利率一致。
We compare the empirical performance of a standard incomplete markets asset pricing model with that of a novel model with constrained Pareto‐optimal allocations. We represent the models’ stochastic discount factors in terms of the cross‐sectional distribution of consumption and use these representations to evaluate the models’ empirical implications. The first model is inconsistent with the equity premium in the United States, United Kingdom, and Italy. The second model is consistent with the equity premium and the risk‐free rate in all three countries if the coefficient of relative risk aversion is roughly 5 and the quarterly discount factor is less than 0.5.