| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP9459
|
| DP9459 Asset Prices with Heterogeneity in Preferences and Beliefs |
| Harjoat Singh Bhamra
|
| 发表日期 | 2013-05-05
|
| 出版年 | 2013
|
| 语种 | 英语
|
| 摘要 | In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have ?catching up with the Joneses? utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our paper is to demonstrate how one can obtain a closed-form solution to the consumption-sharing rule for agents who have both heterogeneous priors and heterogeneous preferences without restricting the risk aversion of the two agents to special values. We solve in closed form also for the the state-price density, the riskless interest rate and market price of risk; the stock price, equity risk premium, and volatility of stock returns; the term structure of interest rates; and the conditions necessary to obtain a stationary equilibrium in which both agents survive in the long run. The methodology we develop is sufficiently general that, as long as markets are complete, it can be used to obtain the sharing rule and state prices for models set in discrete or continuous time and for arbitrary endowment and belief updating processes. |
| 主题 | Financial Economics
|
| 关键词 | Asset pricing
General equilibrium
|
| URL | https://cepr.org/publications/dp9459
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538294
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推荐引用方式
GB/T 7714 |
Harjoat Singh Bhamra. DP9459 Asset Prices with Heterogeneity in Preferences and Beliefs. 2013.
|
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