Equilibrium in securities markets with heterogeneous investors and unspanned income risk

• 成果类型: Article
• 署名作者: Christensen, Peter Ove; Larsen, Kasper; Munk, Claus
• 署名单位: Aarhus University; Carnegie Mellon University; Aarhus University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.01.007
• 发表日期: 2012
• 页码: 1035-1063
• 关键词: Unspanned income; Heterogeneous preferences; Continuous-time equilibrium; risk-free rate puzzle; equity premium; incomplete markets; Brownian Motion

摘要

In a finite time horizon, incomplete market, continuous-time setting with dividends and investor incomes governed by arithmetic Brownian motions, we derive closed-form solutions for the equilibrium risk-free rate and stock price for an economy with finitely many heterogeneous CARA investors and unspanned income risk. In equilibrium, the Shame ratio is the same as in an otherwise identical complete market economy, whereas the risk-free rate is lower and, consequently, the stock price is higher. The reduction in the risk-free rate is highest when the more risk-averse investors face the largest unspanned income risk. (C) 2012 Elsevier Inc. All rights reserved.