Heterogeneous preferences, investment, and asset pricing. Issue 4 (3rd April 2021)
- Record Type:
- Journal Article
- Title:
- Heterogeneous preferences, investment, and asset pricing. Issue 4 (3rd April 2021)
- Main Title:
- Heterogeneous preferences, investment, and asset pricing
- Authors:
- Liu, Bo
Lu, Lei
Mu, Congming
Yang, Jinqiang - Abstract:
- Abstract: 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.
- Is Part Of:
- Financial management. Volume 50:Issue 4(2021)
- Journal:
- Financial management
- Issue:
- Volume 50:Issue 4(2021)
- Issue Display:
- Volume 50, Issue 4 (2021)
- Year:
- 2021
- Volume:
- 50
- Issue:
- 4
- Issue Sort Value:
- 2021-0050-0004-0000
- Page Start:
- 1169
- Page End:
- 1193
- Publication Date:
- 2021-04-03
- Subjects:
- Corporations -- Finance -- Periodicals
658.1505 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1755-053X ↗
http://www.blackwellpublishing.com/journal.asp?ref=0046-3892&site=1 ↗
http://www.jstor.org/journals/00463892.html ↗
http://www3.interscience.wiley.com/journal/118902563/home ↗
http://onlinelibrary.wiley.com/ ↗
http://infotrac.galegroup.com/itw/infomark/1/1/1/purl=rc18%5fITOF%5F0%5F%5Fjn+%22Financial+Management%22 ↗ - DOI:
- 10.1111/fima.12350 ↗
- Languages:
- English
- ISSNs:
- 0046-3892
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3926.961000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 20450.xml