英文标题：
《Intertemporal Substitutability, Risk Aversion and Asset Prices》
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作者：
Dominique Pepin (CRIEF)
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最新提交年份：
2015
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英文摘要：
  Is the elasticity of intertemporal substitution (EIS) more or less than one? This question can be answered by confronting theoretical results of asset pricing models with investor behaviour during episodes of stock market panic. If we consider these episodes as periods of high risk aversion, then lower asset prices are in fact associated with higher risk aversion. However, according to theoretical models, risky asset price is an increasing function of the coefficient of risk aversion only if the EIS exceeds unity. It may therefore be concluded that the EIS must be more than one to reconcile theory with the observed stock price decline during periods of panic.
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中文摘要：
跨期替代弹性是大于还是小于1？这个问题可以通过将资产定价模型的理论结果与股市恐慌期间的投资者行为联系起来来回答。如果我们将这些事件视为高风险厌恶期，那么较低的资产价格实际上与较高的风险厌恶相关。然而，根据理论模型，只有当EIS超过1时，风险资产价格才是风险规避系数的递增函数。因此，可以得出结论，EIS必须不止一个，以使理论与恐慌期间观察到的股价下跌相一致。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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