Asset Pricing with Heterogeneous Agents
Author | : Gregory William Huffman |
Publisher | : London : Department of Economics, University of Western Ontario |
Total Pages | : 25 |
Release | : 1985 |
Genre | : |
ISBN | : 9780771406645 |
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Author | : Gregory William Huffman |
Publisher | : London : Department of Economics, University of Western Ontario |
Total Pages | : 25 |
Release | : 1985 |
Genre | : |
ISBN | : 9780771406645 |
Author | : Qi Zeng |
Publisher | : |
Total Pages | : 117 |
Release | : 2003 |
Genre | : |
ISBN | : |
My dissertation concerns the equilibrium asset pricing and its implications when agents are heterogenous. There are three chapters in the dissertation.
Author | : Miguel Cantillo |
Publisher | : |
Total Pages | : 30 |
Release | : 2019 |
Genre | : |
ISBN | : |
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.
Author | : Michael Christoph Nowotny |
Publisher | : |
Total Pages | : 412 |
Release | : 2011 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : George Vachadze |
Publisher | : |
Total Pages | : 19 |
Release | : 1999 |
Genre | : |
ISBN | : 9788086288192 |
Author | : Francisco J. Gomes |
Publisher | : |
Total Pages | : 50 |
Release | : 2007 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : Tobias Langen |
Publisher | : |
Total Pages | : 32 |
Release | : 2014 |
Genre | : |
ISBN | : |
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.