We study an asset pricing model with stable Paretian shocks to solve the equity premium puzzle. We extend the model with different return generating processes for consumption and dividends, relaxing the strong assumption made in previous studies that aggregate dividends are equal to consumption. The model derives solutions for asset prices and returns. Solutions are provided for the CRRA (constant relative risk aversion) utility function and habit formation utility function. We also prove the convergence of the solution under the maximally negative skewness condition and show that this new model can generate higher risk premia. With more realistic assumptions about the exogenous endowments and utility functions, our new model improves the explanatory power of fat-tailed models with stable shocks for the equity premium, thus providing an alternative approach to resolving the equity premium puzzle.

我们研究了具有稳定帕累托冲击的资产定价模型，以解决股权溢价难题。我们用消费和股息的不同回报生成过程扩展了模型，放松了之前研究中总股息等于消费的强烈假设。该模型得出资产价格和回报的解决方案。为CRRA（恒定相对风险厌恶）效用函数和习惯形成效用函数提供了解决方案。我们还证明了该解在最大负偏度条件下的收敛性，并表明该新模型可以产生更高的风险溢价。通过对外生禀赋和效用函数进行更现实的假设，我们的新模型提高了对股权溢价具有稳定冲击的厚尾模型的解释力，从而为解决股权溢价难题提供了另一种方法。