| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26607 |
| 来源ID | Working Paper 26607 |
| Heterogeneity and Asset Prices: A Different Approach | |
| Nicolae B. Gârleanu; Stavros Panageas | |
| 发表日期 | 2020-01-06 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We develop a tractable asset-pricing framework characterized by imperfect risk sharing among cohorts, who experience different levels of integrated life-time endowments. While all asset-pricing implications stem from the heterogeneity of consumption among investors, cross-sectional measures of inequality are non-volatile, only weakly related to asset prices, and far more persistent than the price-to-dividend ratio. We show how to identify a marginal agent’s consumption growth in this framework by utilizing cross-sectional information. Our proposed notion of marginal-agent consumption growth exhibits different and more volatile low-frequency variation than the aggregate consumption growth per capita, which is normally used in representative agent models. These low frequency movements in our measure of marginal agent consumption growth can explain a large portion of the low frequency movements in real interest rates and, when combined with recursive preferences, can account quantitatively for the stylized asset-pricing facts (high market price of risk, equity premium, volatility, and return predictability). |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w26607 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584280 |
| 推荐引用方式 GB/T 7714 | Nicolae B. Gârleanu,Stavros Panageas. Heterogeneity and Asset Prices: A Different Approach. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26607.pdf（851KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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