异质性偏好、投资和资产定价

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Financial Management Pub Date : 2021-03-17 DOI:10.1111/fima.12350

Bo Liu, Lei Lu, Congming Mu, Jinqiang Yang

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引用次数: 0

摘要

我们提出了一个基于生产的模型，其中代理人具有异质风险厌恶和异质贴现率。与交换经济相比，总消费资本比和总消费波动率降低。从交换型经济向生产型经济转变，风险溢价和股票收益的波动性增大。我们还发现，托宾q的波动率呈倒u形，并且托宾q是顺周期的。

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Heterogeneous preferences, investment, and asset pricing

We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rate. Compared to the exchange economy, the aggregate consumption-capital ratio and aggregate consumption volatility is reduced. The risk premium and the volatility of stock return increase when moving from the exchange economy to the production economy. We also find that the volatility of Tobin's q exhibits an inverted-U-shape and Tobin's q is procyclical.

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来源期刊

Financial Management BUSINESS, FINANCE-

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.