In a static Lucas tree economy, we propose a model that the representative agent is sensitive to regret, that is, the agent is affected by not only the actual outcome but also value-differences between actual and foregone consequences. Our model generalizes the classical simple regret model pioneered by Bell (1982) and Loomes and Sugden (1982), and makes it possible to derive the equilibrium asset price and to see when the regret effect decreases the price. To verify that our model predicts sufficient decreases of the equilibrium price to explain the empirically high risk premium, we analyze the data of U.S. stock market and GDP growth rates during 1871–2018. The numerical calculation indicates that the estimated equilibrium price is small enough to explain the equity premium puzzle.

在静态卢卡斯树经济中，我们提出了一个模型，代表代理对后悔很敏感，即代理不仅受实际结果的影响，还受实际结果与已预见结果之间的价值差异的影响。我们的模型概括了 Bell (1982) 和 Loomes and Sugden (1982) 首创的经典简单后悔模型，可以推导出均衡资产价格，并查看后悔效应何时会降低价格。为了验证我们的模型预测均衡价格的充分下降以解释经验上的高风险溢价，我们分析了 1871-2018 年美国股市和 GDP 增长率的数据。数值计算表明估计的均衡价格小到足以解释股权溢价之谜。