Problem
Research questions and friction points this paper is trying to address.
Equilibrium Prices
Hidden Markov Fundamentals
Epstein-Zin Economy
Geometric Dividends
Valuation Factor
Equilibrium prices under hidden Markov fundamentals
🤖 AI Summary
研究了具有隐藏马尔可夫漂移的Epstein-Zin经济模型，通过引入额外的估值因子并证明其在均衡中为常数，解决了股价与基本面之间的关系问题。
📝 Abstract
We study a representative-agent Epstein-Zin economy with geometric dividends and a hidden finite-state Markov drift. We allow the price-dividend ratio to contain an additional positive, absolutely continuous valuation factor and, within the class $\mathfrak C$ defined below and under the regularity, admissibility, and positivity conditions of our main theorem, equilibrium forces this factor to be constant, yielding belief-Markovian prices. In the two-state case, under the stated positivity condition and strictly positive transition intensities, we prove existence, uniqueness, endpoint smoothness, interior analyticity, and uniform bounds for the positive solution of the pricing equation. For $0<θ\leq1$, this solution supports an equilibrium under any continuous short rate satisfying the model's one-sided portfolio condition. Finally, in the two-state subregion $η>0$, we derive belief-dependent stock volatility, a European option-pricing PDE, and a leading short-maturity conditional risk-neutral log-return skewness expansion.
Innovation
Methods, ideas, or system contributions that make the work stand out.
Hidden Markov Drift
Equilibrium Prices
Belief-Markovian Prices
Pricing Equation
Stock Volatility
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