The Ambiguity Premium vs. the Risk Premium under Limited Market Participation
The Ambiguity Premium vs. the Risk Premium under Limited Market Participation
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DOI：
10.1093/rof/rfq012
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发表时间：
2011-04
影响因子：
4.4
通讯作者：
Takashi Ui
中科院分区：
文献类型：
--
作者：
Takashi Ui
本文在CARA-正态背景下，研究了具有模糊厌恶信息的投资者的股票市场，研究了有限的市场参与与股票溢价的关系。股票溢价分解为风险溢价和模糊溢价。在理性预期均衡中，如果投资者模糊性的最大偏差充分增大，或者股票收益率的方差充分减小，则会出现有限的市场参与。在每种情况下，风险溢价的变化和模糊溢价的变化可能具有相反的符号。本文确定的条件下，一个加号的变化占主导地位，从而股权溢价增加时，较少的投资者参与股票市场。版权所有2010年，牛津大学出版社。
This paper considers a stock market with ambiguity-averse informed investors under the CARA-normal setting, and studies the relationship between limited market participation and the equity premium which is decomposed into the risk premium and the ambiguity premium. In a rational expectations equilibrium, limited market participation arises if the largest deviation of investors' ambiguity increases sufficiently or if the variance of the stock return decreases sufficiently. In each case, a change in the risk premium and a change in the ambiguity premium may have opposite signs. This paper identifies conditions under which a change with the plus sign dominates and thus the equity premium increases when fewer investors participate in the stock market. Copyright 2010, Oxford University Press.