Avaliando três especificações para o fator de desconto estocástico através da fronteira de volatilidade de Hansen e Jagannathan: um estudo

Abstract

This paper studies three consumption-based Asset Pricing models. The stochastic discount factors generated by the models are evaluated according to its ability to satisfy the Hansen and Jagannathan (1991) volatility bounds. In this article, three models based upon a representative agent, which chooses her consumption path over time as well as the allocation of her wealth by purchasing a risky and a risk free asset, are compared. In this context, the stochastic discount factor is related to the inter-temporal marginal rate of substitution that depends on the utility function specified for the representative agent. Three classic specifications are considered: a constant relative risk aversion utility function, habit persistence and the preference representation proposed by Epstein and Zin (1991). The econometric procedures based upon the volatility bounds are unable to identify the stochastic discount factor capable of describing the data more accurately. In addition, the findings reported here are consistent with empirical evidences pointing out to the inexistence of an Equity Premium Puzzle in Brazil.