Essays On Asset Pricing With Preference Heterogeneity
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Essays in Asset Pricing and Market Imperfections
Author | : Weiyang Qiu (Ph. D.) |
Publisher | : |
Total Pages | : 176 |
Release | : 2010 |
Genre | : |
ISBN | : |
(cont.) The third part of the thesis studies asset pricing under heterogeneous information. In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called "infinite regress" problem, which makes the analysis of asset pricing under heterogeneous information challenging. In this part, we solve the infinite-regress problem in a simple economic setting under a fairly general information structure. This allows us to examine how different forms of information heterogeneity impacts the behavior of asset prices, their return dynamics, trading volume as well as agents' welfare.
Young, Old, Conservative, and Bold
Author | : Nicolae Garleanu |
Publisher | : |
Total Pages | : 38 |
Release | : 2015 |
Genre | : |
ISBN | : |
We study the implications of preference heterogeneity for asset pricing. We use recursive preferences in order to separate heterogeneity in risk aversion from heterogeneity in the intertemporal elasticity of substitution, and an overlapping-generations framework to obtain a non-degenerate stationary equilibrium. We solve the model explicitly up to the solutions of ordinary differential equations, and highlight the effects of overlapping generations and each dimension of preference heterogeneity on the market price of risk, interest rates, and the volatility of stock returns. We find that separating IES and risk aversion heterogeneity can have a substantive impact on the model's (qualitative and quantitative) ability to address some key asset pricing issues.
Essays on Equilibrium Asset Pricing with Heterogeneous Agents
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.