Pasar al contenido principal
Asset Pricing with Heterogeneous Agents and Non-Tradeable Assets 2019-07
Detalles
  • Autor(es) Miguel Cantillo Simon
  • Enlace   IR AL ARCHIVO
  • Tipo Documentos de Trabajo
  • Fecha de
    Publicación
    7 de diciembre 2019
Resumen

This paper develops a tractable asset pricing framework based on an Arrow Debreu economy with heterogeneous agents. The assumption of heterogeneity recasts the market rather than aggregate consumption as the key element for pricing securities. The model expresses some asset pricing relationships in terms of four underlying variables. It develops a new formulation for the market risk premium and the earnings price ratio.The theoretical results are used to estimate preference parameters, which yield a value of relative risk aversion between 1.3 and 1.9, and a time preference discount rate between 2.8% and 4.6% per year. Code words: Asset pricing, complete markets, equity risk premium puzzle, risk free rate puzzle. JEL D53, E10, E21, G12, G13, G30, G32.