Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints

• 成果类型: Article
• 署名作者: Chabakauri, Georgy
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.11.012
• 发表日期: 2015
• 页码: 21-34
• 关键词: Heterogeneous investors; borrowing constraints; Short-sale constraints; Limited participation; volatility

摘要

Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various constraints and conditions under which these constraints help match certain empirical facts about asset prices. Under these conditions, borrowing and short-sale constraints decrease stock return volatilities, whereas limited stock market participation constraints amplify them. Moreover, borrowing constraints generate spikes in interest rates and volatilities and have stronger effects on asset prices than short-sale constraints. (C) 2014 Elsevier B.V. All rights reserved.