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Monday, July 20, 2020 | History

2 edition of Asset pricing with heterogeneous consumers and limited participation found in the catalog.

Asset pricing with heterogeneous consumers and limited participation

Alon Brav

Asset pricing with heterogeneous consumers and limited participation

empirical evidence

by Alon Brav

  • 292 Want to read
  • 37 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Assets (Accounting) -- Prices.,
  • Consumption (Economics),
  • Capital market.,
  • Monte Carlo method.

  • Edition Notes

    StatementAlon Brav, George M. Constantinides, Christopher C. Geczy.
    SeriesNBER working paper series -- working paper 7406, Working paper series (National Bureau of Economic Research) -- working paper no. 7406.
    ContributionsConstantinides, George M., Géczy, Christopher C., National Bureau of Economic Research.
    Classifications
    LC ClassificationsHB1 .W654 no. 7406
    The Physical Object
    Pagination48 p. ;
    Number of Pages48
    ID Numbers
    Open LibraryOL22393028M

    Asset Pricing with Heterogeneous Investors and Portfolio Constraints premium puzzle, mispricing of redundant assets, role of arbitrageurs, impact of heterogeneous be-liefs on asset prices, and stock comovements [e.g., among others, Detemple and Murthy (); case of limited participation the portfolio constraints decrease the interest Cited by: Asset Pricing with Limited Risk Sharing explain equilibrium asset returns. Models without limited participation must match aggregate consumption moments, and thus can only rationalize a lower equity premium. In summary, having a model that captures the heterogeneity between the consumption growth of rich and poor households (such as ours)Cited by:

    This article, Part 1 of 2, reviews the classical origins, development, and tests of consumption-based asset pricing theory, focusing mainly on the first two decades from to Starting with the original consumption capital asset pricing model (CCAPM) derivations, we review both theory and subsequent tests and provide some new applications. The consumption aggregation theorem and CCAPM Cited by: 5. Enter the terms you wish to search for. The latest updates on Stanford GSB’s response to COVID Asset Pricing with Heterogeneous Consumers.

      George M. Constantinides and Darrell Duffie (), 'Asset Pricing with Heterogeneous Consumers' Alon Brav, George M. Constantinides and Christopher C. Geczy (), 'Asset Pricing with Heterogeneous Consumers and Limited 4/5(2). An Introduction to Asset Pricing Theory The asset prices we discuss would include prices of bonds and stocks, interest rates, exchange rates, and derivatives of all these underlying financial assets. Asset Classical asset pricing models, such as CAPM and APT (Arbitrage Pricing 1.


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Asset pricing with heterogeneous consumers and limited participation by Alon Brav Download PDF EPUB FB2

Brav, Constantinides, and Geczy: w Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence: Campbell and Mankiw: w Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence: Carneiro, Hansen, and Heckman: w Removing the Veil of Ignorance in Assessing the Distributional Impacts of Social Policies.

Asset Pricing With Heterogeneous Consumers and Limited Participation: Empirical Evidence Abstract We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the –96 period with a stochastic discount factor calculated as the weighted average ofCited by: This paper is a revision of the earlier NBER working paper w, Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence, Alon Brav, George M.

Constantinides, Christopher C. Geczy Users who downloaded this paper also downloaded* these. Get this from a library. Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence. [Alon Brav; George M Constantinides; Christopher C Geczy] -- The Euler equations of consumption are tested on the household consumption of non-durables and services, reconstructed from the CEX database.

The estimated relative risk aversion coefficient of the. Alon Brav, George M. Constantinides, and Christopher C. Geczy, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Journal of Political Economyno. 4 (August ): Cited by: Additional Physical Format: Online version: Brav, Alon.

Asset pricing with heterogeneous consumers and limited participation. Cambridge, MA: National Bureau of Economic Research, ©   We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the –96 period with a stochastic discount factor calculated as the weighted average of individual households’ marginal rate of substitution with low and economically plausible values of the relative risk aversion coefficient.

Since these premia are not explained with an Cited by: Alon Brav & George M. Constantinides & Christopher C. Geczy, "undated".

"Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," Rodney L. White Center for Financial Research Working PapersWharton School Rodney L.

Alon Brav & George M. Constantinides & Christopher C. Geczy, "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papersCenter for Research in Security Prices, Graduate School of Business, University of Chicago.

Alon Brav & George M. Constantinides & Christopher C. Geczy, Asset Pricing with Heterogeneous Consumers Constantinides & Du e, JPE Presented by: Rustom Irani, NYU Stern Representative Agent Consumption-Based Asset Pricing Breeden-Lucas consumption-CAPM model: 1 Complete markets; Asymmetric information or limited enforcement of.

pricing of dividends," American Economic Review, (4), { 7. Market frictions Transaction costs Incomplete markets Uninsurable income heterogeneity References Brav, A., G. Constantinides, and C.

Geczy,\Asset pricing with hetero-geneous consumers and limited participation: Empirical evidence," Journal. First, in many contexts it is difficult to derive testable predictions in asset pricing models with heterogeneous agents, though many researchers have made progress; for example, see Duffie and Constantinides (), Heaton and Lucas (), and Shefrin ().

Second, there is a lack of tangible data that reflect by: We calibrate and estimate a consumption-based asset pricing model with habit formation using limited participation consumption data. Based on survey data of a representative sample of American households, we distinguish between assetholder and non-assetholder consumption, as well as the standard aggregate consumption series commonly used in the CCAPM by: 4.

Asset pricing with heterogeneous consumers. Journal of Political Economy–]. We implement the new kernel on household consumption data from the Consumer Expenditure Survey (CEX).

Heterogeneous Beliefs, Asset Prices, and Volatility in a Pure Exchange Economy Journal of Economic Dynamics and Control, Vol. 31, No.

5, pp.Number of pages: 37 Posted: 22 Jun Last Revised: 16 May Cited by: Full consumption insurance implies that heterogeneous consumers are able to equalize their marginal rates of substitution state by state and, at least for consumers with von Neumann-Morgenstern preferences, that the equilibrium of a heterogeneous-consumer, full- information economy is isomorphic in its pricing implications to the equilibrium of.

ASSET PRICING short-selling constraints.' They concluded that consumers are able to come close to the complete-markets rule of complete risk sharing, even though consumers are allowed to trade in just one security in a frictionless market.

Aiyagari and Gertler () and Heaton and Lucas (, a. Asset Pricing with Heterogeneous Investors and Portfolio Constraints. whereas limited stock market participation constraints can increase volatilities even when investors have identical preferences and beliefs.

Moreover, borrowing constraints generate spikes in interest rates and stock return volatilities when the constraint starts to bind Cited by: agent models with incomplete markets and/or limited stock market participation for asset pricing.5 We also build on the literature on asset allocation with undiversi fiable labor income risk.6 The closest papers to ours are Saito (), Basak and Cuoco (), Heaton and Lucas (), Storesletten, Telmer and Yaron () and Guvenen ().File Size: KB.

Introduction. In this paper we study a simple asset pricing model with (i) uninsurable labor income risk and/or borrowing constraints, (ii) limited stock market participation, (iii) heterogeneous income volatilities and (iv) heterogeneous preferences with a simple two-period two-agent model.

The implications of these assumptions have been investigated in the asset pricing literature with Cited by: 2. 6 Asset Pricing with Recursive Preferences. 7 Stochastic Consumption Volatility. 8 Asset Pricing with Habits. 9 Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation.

10 Conclusion. References. Chapter Bond Pricing and the Macroeconomy. 1 Introduction. 2 A Factor Model. 3 No-Arbitrage Restrictions.“Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence,” Alon Brav, George Constantinides, and Chris Geczy, “Housing, Consumption, and Asset Pricing,” Monika Piazzesi, Martin Schneider, and Selale Tuzel, “A Consumption-Based Explanation of Expected Stock Returns,” Motohiro Yogo, "Asset pricing with heterogeneous consumers and limited participation: Empirical evidence," Journal of Political Economy, Buss, Adrian "Capital Controls and International Financial Stability: A Dynamic General Equilibrium Analysis in Incomplete Markets," November