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Asset Pricing With Heterogeneous Agents And Non Tradeable Assets
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Book Synopsis Asset Pricing with Heterogeneous Agents and Non-Tradeable Assets by : Miguel Cantillo
Download or read book Asset Pricing with Heterogeneous Agents and Non-Tradeable Assets written by Miguel Cantillo and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Empirical Asset Pricing with Reference-Dependent Heterogeneous Agents by : Tobias Langen
Download or read book Empirical Asset Pricing with Reference-Dependent Heterogeneous Agents written by Tobias Langen and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Asset Pricing Model with Heterogeneous Investment Horizons by :
Download or read book Asset Pricing Model with Heterogeneous Investment Horizons written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a "stylized" market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying stock. The price of the stock is determined through market clearing condition. Traders are speculators described as expected utility maximizers with heterogeneous beliefs about future stock price and with heterogeneous estimation of risk. In particular, we consider traders who base their investment decision on different time horizons and we analyze the effect of these differences on the price dynamics. Under suitable parameterization, the stock no-arbitrage "fundamental" price can emerge as a stable fixed point of the model dynamics. For different parameterizations, however, the market shows cyclical or chaotic price dynamics with speculative bubbles and crashes. We find that the sole heterogeneity of agents with respect to their time horizons is not enough to guarantee the instability of the fundamental price and the emergence of non-trivial price dynamics. However, if different groups of agents are characterized by different trading behaviors, the introduction of heterogeneous investment horizons can help to decrease the stability region of the "fundamental" fixed point. The role of time horizons turns out to be different for different trade behaviors and, in general, depends on the whole ecology of agents' beliefs. We demonstrate this effect discussing a case in which the increase of fundamentalists time horizons can lead to cyclical or chaotic price behavior, while the same increase for the chartists helps to stabilize the fundamental price. -- Asset pricing ; Heterogenous beliefs ; Investment horizons
Book Synopsis Asset Pricing with Heterogeneous Agents and Non-normal Return Distributions by : Arthur Beddock
Download or read book Asset Pricing with Heterogeneous Agents and Non-normal Return Distributions written by Arthur Beddock and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Gregory William Huffman Publisher :London : Department of Economics, University of Western Ontario ISBN 13 :9780771406645 Total Pages :25 pages Book Rating :4.4/5 (66 download)
Book Synopsis Asset Pricing with Heterogeneous Agents by : Gregory William Huffman
Download or read book Asset Pricing with Heterogeneous Agents written by Gregory William Huffman and published by London : Department of Economics, University of Western Ontario. This book was released on 1985 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing with Limited Risk Sharing and Heterogeneous Agents by : Francisco J. Gomes
Download or read book Asset Pricing with Limited Risk Sharing and Heterogeneous Agents written by Francisco J. Gomes and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing with Heterogeneous Agents and Disaster Risk by : Michael Christoph Nowotny
Download or read book Asset Pricing with Heterogeneous Agents and Disaster Risk written by Michael Christoph Nowotny and published by . This book was released on 2011 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Equilibrium Asset Pricing with Heterogeneous Agents and Interdependent Habit Formation by : David R. Alexander
Download or read book Equilibrium Asset Pricing with Heterogeneous Agents and Interdependent Habit Formation written by David R. Alexander and published by . This book was released on 2004 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurable Labor Income and Limited Stock Market Participation by : Seryoong Ahn
Download or read book A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurable Labor Income and Limited Stock Market Participation written by Seryoong Ahn and published by . This book was released on 2016 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Asset Pricing in Markets with Illiquid Assets by : Francis A. Longstaff
Download or read book Asset Pricing in Markets with Illiquid Assets written by Francis A. Longstaff and published by . This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many important classes of assets are illiquid in the sense that they cannot always be traded immediately. Thus, a portfolio position in these types of illiquid investments becomes at least temporarily irreversible. We study the asset-pricing implications of illiquidity in a two-asset exchange economy with heterogeneous agents. In this market, one asset is always liquid. The other asset can be traded initially, but then not again until after a quot;blackoutquot; period. Illiquidity has a dramatic effect on optimal portfolio decisions. Agents abandon diversification as a strategy and choose highly polarized portfolios instead. The value of liquidity can represent a large portion of the equilibrium price of an asset. We present examples in which a liquid asset can be worth up to 25 percent more than an illiquid asset even though both have identical cash flow dynamics. We also show that the expected return and volatility of an asset can change significantly as the asset becomes relatively more liquid.
Book Synopsis Heterogeneity and Asset Prices by : Nicolae B. Gârleanu
Download or read book Heterogeneity and Asset Prices written by Nicolae B. Gârleanu and published by . This book was released on 2020 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).
Book Synopsis Asset Pricing in a Lucas Framework with Boundedly Rational, Heterogeneous Agents by : Andrew James Culham
Download or read book Asset Pricing in a Lucas Framework with Boundedly Rational, Heterogeneous Agents written by Andrew James Culham and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: The standard dynamic general equilibrium model of financial markets does a poor job of explaining the empirical facts observed in real market data. The common assumptions of homogeneous investors and rational expectations equilibrium are thought to be major factors leading to this poor performance. In an attempt to relax these assumptions, the literature has seen the emergence of agent-based computational models where artificial economies are populated with agents who trade in stylized asset markets. Although they offer a great deal of flexibility, the theoretical community has often criticized these agent-based models because the agents are too limited in their analytical abilities.
Book Synopsis Asset Pricing and Trading Volume in Heterogeneous Agent Models with Incomplete Markets by : Jean Paul Theler
Download or read book Asset Pricing and Trading Volume in Heterogeneous Agent Models with Incomplete Markets written by Jean Paul Theler and published by . This book was released on 1994 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents by : Kenneth L. Judd
Download or read book Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents written by Kenneth L. Judd and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading volume of infinitely lived securities, such as equity, is generically zero in Lucas asset pricing models with heterogeneous agents. More generally, the end-of-period portfolio of all securities is constant over time and states in the generic economy. General equilibrium restrictions rule out trading of equity after an initial period. This result contrasts the prediction of portfolio allocation analyses that portfolio rebalancing motives produce nontrivial trade volume. Therefore, other causes of trade must be present in asset markets with large trading volume.
Book Synopsis Asset Pricing with Heterogeneous Consumers and Limited Participation by : Alon Brav
Download or read book Asset Pricing with Heterogeneous Consumers and Limited Participation written by Alon Brav and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Euler equations of consumption are tested on the household consumption of non-durables and services, reconstructed from the CEX database. The estimated relative risk aversion coefficient of the representative household decreases, and the estimated unexplained mean equity premium decreases, as infra marginal asset holders are eliminated from the sample. These results provide evidence of limited capital market participation. The estimated unexplained mean equity premium decreases when the assumption of complete consumption insurance is relaxed. The estimated correlation between the equity premium and the cross- sectional variance of the households' consumption growth is negative, as required, if the relaxation of market completeness is to contribute towards the explanation of the premium. The overall evidence from asset prices in favor of relaxing the assumption of complete consumption insurance is weak. An extensive Monte Carlo investigation highlights the relationship between the economic implications of limited participation and the resulting statistical properties of commonly used test statistics. The simulation results provide direct evidence relating observation error in consumption and the resulting small-sample of the test statistics.
Book Synopsis Asset Pricing with Limited Risk Sharing and Heterogeneous Agents by : Francisco Gomes
Download or read book Asset Pricing with Limited Risk Sharing and Heterogeneous Agents written by Francisco Gomes and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Asset Pricing by : Patrick Konermann
Download or read book Asset Pricing written by Patrick Konermann and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
