Heterogeneous Preferences and Asset Pricing

摘要：

In this paper , we present an equilibrium model of asset pricing. The basic model considers a production economy of two classes of investors with habits formations: one class have internal habit which habit depends on an agents own consumption and the agent takes account of this when choosing how much to consume; the other class have external habit, which habit depends on aggregate consumption that is unaffected by any one agents decisions. We use the model to examine the effect of preference heterogeneity on asset pricing. We find that in generally, internal habit increase the equity premium while external habit effect on equity premium dependent on the correlation between habits level and risk assets.

关键词： habits formation heterogeneous preferences asset pricing

作者: Xiong He-ping Xu Xu-song Jiang Xiong-tao Jiang Xiong-tao

作者单位: School of Economics and Management, Wuhan University,Wuhan 430072, P.R.China

会议类型: 国际会议

会议名称: 第三届IEEE无线通讯、网络技术暨移动计算国际会议

会议地点: 上海

会议语种:英文

在线出版日期: 2007-09-21（万方平台首次上网日期，不代表论文的发表时间）