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英文文献：Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM-罕见灾害风险、欧拉方程误差和C-CAPM的性能
英文文献作者：Olaf Posch,Andreas Schrimpf
英文文献摘要：
This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk rationalizes large pricing errors, i.e. Euler equation errors. This result is remarkable, since Lettau and Ludvigson (2009) show that leading asset pricing models cannot explain sizeable pricing errors in the C-CAPM. We also show (analytically and in a Monte Carlo study) that implausible estimates of risk aversion and time preference are not puzzling in this framework and emerge as a result of rational pricing errors. While this bias essentially removes the pricing error in the traditional endowment economy, a production economy with stochastically changing investment opportunities generates large and persistent empirical pricing errors.
本文表明，基于消费的低概率灾害风险资产定价模型(C-CAPM)使大的定价误差，即欧拉方程误差合理化。这一结果是显著的，因为Lettau和Ludvigson(2009)表明，领先的资产定价模型无法解释C-CAPM中的大量定价错误。我们还表明(分析地和蒙特卡洛研究中)，风险厌恶和时间偏好的不可信估计在这个框架中并不令人困惑，而是作为理性定价错误的结果出现的。虽然这种偏差在本质上消除了传统禀赋经济中的定价错误，但一个投资机会随机变化的生产经济会产生巨大且持续的经验定价错误。
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