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Asset Pricing With Heterogeneous Consumers
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Book Synopsis Asset Pricing with Heterogeneous Consumers by : George M. Constantinides
Download or read book Asset Pricing with Heterogeneous Consumers written by George M. Constantinides and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free asset prices, dividends, and aggregate income, satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The Euler equations of consumption in a representative-agent economy are replaced by a set of Euler equations that depend not only on the per capita consumption growth but also on the cross-sectional variance of the individual consumers' consumption growth.
Book Synopsis Asset pricing with heterogeneous consumers by : George M. Constantinides
Download or read book Asset pricing with heterogeneous consumers written by George M. Constantinides and published by . This book was released on 1992 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 2002 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Asset Pricing with Heterogeneous Consumers and Limited Paricipation by : Alon Brav
Download or read book Asset Pricing with Heterogeneous Consumers and Limited Paricipation written by Alon Brav and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset pricing heterogeneous consumers and limited participation by : Alon Brav
Download or read book Asset pricing heterogeneous consumers and limited participation written by Alon Brav and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing with Heterogeneous Consumer and Limited Partecipation: Empirical Evidence by : Alon Brav
Download or read book Asset Pricing with Heterogeneous Consumer and Limited Partecipation: Empirical Evidence written by Alon Brav and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Prices with Heterogeneous Consumers by : Thore Johnsen
Download or read book Asset Prices with Heterogeneous Consumers written by Thore Johnsen and published by . This book was released on 1979 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Does Crime Pay? Asset Pricing with Revealed Utility of Heterogeneous Consumers by : John R. Huck
Download or read book Does Crime Pay? Asset Pricing with Revealed Utility of Heterogeneous Consumers written by John R. Huck and published by . This book was released on 2015 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: I propose violent crime growth as a measure of revealed marginal utility growth of heterogeneous consumers in incomplete markets. Consumer heterogeneity is measured using the cross-sectional average and cross-sectional variance of crime growth exploiting a monthly panel of reported crime incidents from over 10,000 law enforcement agencies across the United States from 1975-2012. Consistent with heterogeneous consumer models such as Mankiw (1986), I find that the cross-sectional average and variance of violent crime growth can explain the cross-section of stock returns. Specifically, investors pay a premium for assets that have higher betas to the violent crime growth moments.
Book Synopsis Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs by : Elyes Jouini
Download or read book Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs written by Elyes Jouini and published by . This book was released on 2015 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus probability belief, as well as a consensus consumer, are shown to be valid modulo an aggregation bias, which takes the form of a discount factor. In classical cases, the consensus probability belief is a risk-tolerance weighted average of the individual beliefs, and the discount factor is proportional to the beliefs dispersion. This discount factor makes the heterogeneous beliefs setting fundamentally different from the homogeneous beliefs setting, and it is consistent with the interpretation of belief heterogeneity as a source of risk.We then use our construction to rewrite in a simple way the equilibrium characteristics (market price of risk, risk premium, risk-free rate) in a heterogeneous beliefs framework and to analyze the impact of belief heterogeneity. Finally, we show that it is possible to construct specific parametrizations of the heterogeneous beliefs model that lead to globally higher risk premia, lower risk-free rates, and risk premia that are lower for assets with higher belief dispersion.
Book Synopsis Heterogeneous Beliefs and Asset Pricing in Discrete Time by : Clotilde Napp
Download or read book Heterogeneous Beliefs and Asset Pricing in Discrete Time written by Clotilde Napp and published by . This book was released on 2015 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the form of a discount factor. We use our construction of a consensus consumer to investigate the impact of beliefs heterogeneity on the CCAPM and on the expression of the risk free rate. We focus on the pessimism/doubt of the consensus consumer and we study their impact on the equilibrium characteristics (market price of risk, risk free rate). We finally analyze how pessimism and doubt at the aggregate level result from pessimism and doubt at the individual level.
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 Heterogeneous Consumers, Segmented Asset Markets, and the Effects of Monetary Policy by : Zeno Enders
Download or read book Heterogeneous Consumers, Segmented Asset Markets, and the Effects of Monetary Policy written by Zeno Enders and published by . This book was released on 2012 with total page 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 Asset Pricing with Heterogenous Consumers and Limited Participation by : Alon Brav
Download or read book Asset Pricing with Heterogenous Consumers and Limited Participation written by Alon Brav and published by . This book was released on 2002 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Three Essays on Heterogeneity, Insurance, and Asset Pricing by : Tsvetanka Karagyozova
Download or read book Three Essays on Heterogeneity, Insurance, and Asset Pricing written by Tsvetanka Karagyozova and published by . This book was released on 2007 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing with Heterogeneous and Constrained Investors by : Lei Shi
Download or read book Asset Pricing with Heterogeneous and Constrained Investors written by Lei Shi and published by . This book was released on 2019 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the joint effect of borrowing and short-sale constraints in a dynamic economy populated by two constrained investors with heterogeneous risk aversions and beliefs. We find that equilibrium prices adjust in such a way that the constraints never simultaneously bind. When the constraints are tight, we observe a regime switch behavior (discontinuities) in the risk-free rate and market price of risk at a critical state, where two equilibria exist, i.e., either constraint can be binding. Stock return volatility is the lowest at the critical state. Imposing a ban on short-sales at the same time when access to credit is restrictive or tightening borrowing during a short-sale ban can potentially move the equilibrium away from the critical state, thus increase stock return volatility rather than reducing it.
