Heterogeneous Wealth Preference and Asset Pricing
In this paper,we investigates Mertons 1 continuous-time version of asset pricing model with heterogeneous wealth preference.With our model,we found:when there exist two types investor with the different wealth preference (or spirit of capitalism) as Bakshi and Chen 2 described,the social wealth affect equity premium.When the risky asset returns positively correlates to average social wealth,the spirit of capitalism increase premium;contrarily the effect of capitalism spirit dependent the ratio of investor Ⅱ wealth to the total wealth:under a high ratio the spirit of capitalism increases premium too.But under a lower ratio the spirit of capitalism decreases premium.
wealth preference heterogeneous preferences asset pricing,the social-wealth index
Heping Xiong
School of Economics and Management,Wuhan University Wuhan,P.R.China,430072
国际会议
长沙
英文
275-280
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）