Cecchetti, Stephen; Mark, Nelson; Lam, Pok-sang - National Bureau of Economic Research (NBER) - 1998
We study a Lucas asset pricing model that is standard in all respects representative agent's subjective beliefs about endowment growth are distorted. Using constant-relative-risk-aversion (CRRA) utility a CRRA coefficient below ten that exhibit, on average, excessive pessimism over expansions...