On the role of information and regimes in asset pricing.

摘要

The aim of this work is to shed further light on the role of asset pricing in macroeconomics. Starting from the long run risk hypothesis and agents with a recursive utility, I study the role of information processing on the state of the economy and its relation with asset pricing figures in an pure exchange setting. A richer setup is also studied, introducing the production side in the economy and modelling the business cycles with a regime switching process. In particular, the first part of the thesis is concerned with the role of information in the long run risk model. Here I document an unpleasant feature of the stylized model economy of long-run risk type now popular in asset pricing. In the second part of the thesis I study the asset pricing implications of the model introduced above, focusing on the relation between information on the state of the economy and the equity risk premium. The last part of the thesis provides an analysis of the asset pricing implications of the studied model in a real business cycle setting.