Asset Pricing With Limited Risk Sharing And Heterogeneous Agents PDF Download
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| Author | : Francisco Gomes |
| Publisher | : |
| Total Pages | : |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Asset Pricing with Limited Risk Sharing and Heterogeneous Agents Book in PDF, ePub and Kindle
We develop a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market participation and individual asset holdings. The high risk-premium is driven by incomplete risk sharing among stockholders, which results from the combination of aggregate uncertainty, borrowing constraints, and a (realistically) calibrated life-cycle earnings profile subject to idiosyncratic shocks. We show that it is challenging to simultaneously match asset pricing moments and individual portfolio decisions, while limited participation has a negligible impact on the risk-premium, contrary to the results of models where it is imposed exogenously.
| Author | : Francisco J. Gomes |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2007 |
| Genre | : Capital assets pricing model |
| ISBN | : |
Download Asset Pricing with Limited Risk Sharing and Heterogeneous Agents Book in PDF, ePub and Kindle
| Author | : Seryoong Ahn |
| Publisher | : |
| Total Pages | : 25 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurable Labor Income and Limited Stock Market Participation Book in PDF, ePub and Kindle
In this paper we study a simple two-period asset pricing model to understand the implications of uninsurable labor income risk and/or borrowing constraints, limited stock market participation, heterogeneous labor income volatilities, and heterogeneous preferences. We appraise the performance of each of these in matching moments of asset returns to the data and show that limited stock market participation generates a significantly large equity premium. We also show that the distribution of wealth between stock market participants and non-participants plays an important role in asset pricing, and that the effect of borrowing constraints on asset returns are similar to that of limited participation. Finally, we discuss the practical implications of our investigation, providing an appraisal of ongoing changes in asset returns.
| Author | : Michael Christoph Nowotny |
| Publisher | : |
| Total Pages | : 412 |
| Release | : 2011 |
| Genre | : Capital assets pricing model |
| ISBN | : |
Download Asset Pricing with Heterogeneous Agents and Disaster Risk Book in PDF, ePub and Kindle
| Author | : Tobias Langen |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Empirical Asset Pricing with Reference-Dependent Heterogeneous Agents Book in PDF, ePub and Kindle
I propose a strategy for the empirical evaluation of prospect theory that links concepts from the literature on asset pricing with heterogeneous agents to behavioral finance. I develop an asset pricing model in which two representative agents maximize their utility by investing in risky assets. One agent represents the behavior of investors above their reference level, one below. Using US income panel data, investors are sorted into groups depending on recent income development. In line with prospect theory, estimation results show that investors below their reference level act risk-seeking. The cross-sectional variation in returns of portfolios sorted by size and book-to-market value can be explained with a plausible risk aversion coefficient of ten while the unexplained equity premium is drastically reduced.
| Author | : Nicolae Garleanu |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Heterogeneity and Asset Prices Book in PDF, ePub and Kindle
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).
| Author | : Alon Brav |
| Publisher | : |
| Total Pages | : 64 |
| Release | : 2002 |
| Genre | : Capital market |
| ISBN | : |
Download Asset Pricing with Heterogeneous Consumers and Limited Participation Book in PDF, ePub and Kindle
We present evidence that the equity premium and the premium of value stocks over growth stocks are explained in the 1982 1996 period with a stochastic discount factor (SDF) calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion (RRA) coefficient. Household consumption of non-durables and services is reconstructed from the CEX database. Since the above premia are not explained with a SDF calculated as the per capita marginal rate of substitution with low value of the RRA coefficient, the evidence supports the hypothesis of incomplete consumption insurance. We also present evidence is that a SDF calculated as the per capita marginal rate of substitution is better able to explain the equity premium and does so with a lower value of the RRA coefficient, as the definition of asset holders is tightened to recognize the limited participation of households in the capital market.
| Author | : Gregory William Huffman |
| Publisher | : London : Department of Economics, University of Western Ontario |
| Total Pages | : 25 |
| Release | : 1985 |
| Genre | : |
| ISBN | : 9780771406645 |
Download Asset Pricing with Heterogeneous Agents Book in PDF, ePub and Kindle
| Author | : Bo Liu |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Heterogeneous Preferences, Investment, and Asset Pricing Book in PDF, ePub and Kindle
We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rates. When the less risk-averse agent is more impatient, the two types of agents can coexist for a long time. The heterogeneity in risk aversion and discount rate induces the wealth share of less risk averse agent to be procyclical, while it leads Tobin's q and the investment-capital ratio to be countercyclical. We also nd that the heterogeneity in risk aversion and discount rate leads to more efficient risk sharing and reduces the volatility of stock returns.
| Author | : Miguel Cantillo |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Download Asset Pricing with Heterogeneous Agents and Non-Tradeable Assets Book in PDF, ePub and Kindle
This paper develops a tractable asset pricing framework based on an Arrow Debreu economy with heterogeneous agents. The assumption of heterogeneity recasts the market rather than aggregate consumption as the key element for pricing securities. The model expresses some asset pricing relationships in terms of four underlying variables. It develops a new formulation for the market risk premium and the earnings price ratio.The theoretical results are used to estimate preference parameters, which yield a value of relative risk aversion between 1.3 and 1.9, and a time preference discount rate between 2.8% and 4.6% per year.
