This paper offers an ambiguity-based interpretation of the variance premium — the difference between risk-neutral and objective expectations of market return variance — as a compounding effect of both belief distortion and variance differential regarding the uncertain economic regimes. Our calibrated model can match the variance premium, the equity premium, and the risk-free rate in the data. We find that about 97% of the mean–variance premium can be attributed to ambiguity aversion. A three-way separation among ambiguity aversion, risk aversion, and intertemporal substitution, permitted by the smooth ambiguity preferences, plays a key role in our model’s quantitative performance.

中文翻译：

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歧义厌恶和方差溢价

本文对方差溢价（风险中性和市场回报方差的客观预期之间的差异）提供了一种基于模糊性的解释，作为不确定经济体制下信念扭曲和方差差异的复合效应。我们的校准模型可以匹配数据中的方差溢价、股权溢价和无风险利率。我们发现大约 97% 的均值方差溢价可归因于歧义厌恶。在平滑的歧义偏好允许的情况下，歧义厌恶、风险厌恶和跨期替代之间的三向分离在我们模型的定量性能中起着关键作用。