000			01796nam a22001937a 4500
008			190312b xxu||||| |||| 00| 0 eng d
022			_a0304-405X
245			_aAsset pricing with beliefs-dependent risk aversion and learning / by Tony Berrada, Jérôme Detemple, Marcel Rindisbacher _cTony Berrada, Jérôme Detemple, Marcel Rindisbacher
260			_aAmsterdam _bElsevier _cJune 2018
300			_aPages 504-534
440			_aJournal of Financial Economics _v128 (3) _x0304-405X
520			_aAbstract This paper studies equilibrium in a pure exchange economy with unobservable Markov switching growth regimes and beliefs-dependent risk aversion (BDRA). Risk aversion is stochastic and depends nonlinearly on consumption and beliefs. Equilibrium is obtained in closed form. The market price of risk, the interest rate, and the stock return volatility acquire new components tied to fluctuations in beliefs. A three-regime specification is estimated using the generalized method of moments (GMM). Model moments match their empirical counterparts for a variety of unconditional moments, including the equity premium, stock returns volatility, and the correlations between stock returns and consumption and dividends. Dynamic features of the data, such as the countercyclical behaviors of the equity premium and volatility, are also captured. Model volatility provides a good fit for realized volatility. A new factor, the information risk premium, is found to be a strong predictor of future excess returns. These results are obtained with an estimated risk aversion fluctuating between 1.44 and 1.93.
690			_aAsset pricing puzzles
690			_aBeliefs-dependent risk aversion
690			_aEquity premium
690			_aRisk-free rate
690			_aVolatility
942			_2lcc _cSE
999			_c361346 _d361346