Ambiguity, Long-run risk, and asset prices. Towards a resolution of the equity premium puzzle

      Аннотация: We study the U.S. equity market via a representative agent model with ambiguity averse preference over consumption and leisure. Labor income dynamics are explicitly modeled with a persistent time varying component which is shared in common with the dividend process. This framework is shown to generate enough equity risk premia to match the level in historical data, without making unreasonably high assumptions about the agent's risk aversion.

Ключевые слова: Asset Pricing, Ambiguity, Long-run risk, Bayesian Learning, consumption-based