市场风险感知能驱动无效价格吗？理论和证据
Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence
摘要：
本文提出了一个资产定价模型，该模型在合理预期均衡的视角下显示，取决于风险厌恶和噪声波动，风险资产如何具有一个在效率方面不同的均衡价格：一个信息有效的价格（类似于Campbell和Kyle（1993）），另一个价格偏离其信息有效水平。在低（高）市场风险感知下，前者帕累托支配后者（被后者支配）。使用标准普尔500指数的模型的估计支持的理论研究结果，估计的无效均衡价格捕捉到更高的风险溢价和更高的波动性观察期间的Dot.com泡沫1995- 2000。
英文摘要：
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an informational efficient one (similar to Campbell and Kyle (1993)), and another one where price diverges from its informational efficient level. The former Pareto dominates (is dominated by) the latter in presence of low (high) market risk perception. The estimates of the model using S&P 500 Index support the theoretical findings, and the estimated inefficient equilibrium price captures the higher risk premium and higher volatility observed during the Dot.com bubble 1995--2000.
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