Asset pricing with heterogeneous agents and long-run risk

• 成果类型: Article
• 署名作者: Pohl, Walter; Schmedders, Karl; Wilms, Ole
• 署名单位: Norwegian School of Economics (NHH); International Institute for Management Development (IMD); Tilburg University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.01.005
• 发表日期: 2021
• 页码: 941-964
• 关键词: Asset pricing; Belief differences; heterogeneous agents; Long-run risk; recursive preferences

摘要

This paper shows that belief differences have strong effects on asset prices in consumption-based asset-pricing models with long-run risks. Belief heterogeneity leads to time-varying consumption and wealth shares of the agents. This time variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the volatility of the price-dividend ratio, the predictability of cash flows and re-turns, and the large predictability of returns in recessions. These findings show that belief differences, a widely observed attribute of investors, significantly improve the explanatory power of long-run risk asset-pricing models. (c) 2021 Elsevier B.V. All rights reserved.