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• W1499698943 abstract "We propose a long-run risk model with an optimistic and a pessimistic EpsteinZin investor who disagree about the likelihood of jumps in expected consumption growth. We explicitly solve the model for the case of market incompleteness when expected growth risk cannot be insured. In our model the dependence of the equity premium on the relative wealth or consumption shares of the two investors is much less pronounced than in related models like Chen, Joslin, and Tran (2012). Furthermore, with the combination of recursive utility, investor heterogeneity, and substantial market incompleteness, our approach can explain empirical facts about the relation between varying degrees of disagreement and quantities like return volatilities and trading volume better than competing models. Furthermore, in terms of investor survival we nd that for our parametrization the investor whose beliefs correspond to the true model tends to lose consumption share in the long run." @default.
• W1499698943 created "2016-06-24" @default.
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• W1499698943 date "2014-01-01" @default.
• W1499698943 modified "2023-10-10" @default.
• W1499698943 title "Optimists, Pessimists, and the Equity Premium: The Role of Preferences and Market (In)Completeness" @default.
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• W1499698943 hasPublicationYear "2014" @default.
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