First-Order Risk Aversion, Heterogeneity, and Asset Market Outcomes

• 成果类型: Article
• 署名作者: Chapman, David A.; Polkovnichenko, Valery
• 署名单位: Boston College; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01482.x
• 发表日期: 2009
• 页码: 1863-1887
• 关键词: EQUITY PREMIUM PUZZLE; prospect-theory; ambiguity; CHOICE

摘要

We examine a wide range of two-date economies populated by heterogeneous agents with the most common forms of nonexpected utility preferences used in finance and macroeconomics. We demonstrate that the risk premium and the risk-free rate in these models are sensitive to ignoring heterogeneity. This follows because of endogenous withdrawal by nonexpected utility agents from the market for the risky asset. This finding is important precisely because these alternative preferences have frequently been proposed as possible resolutions to various asset pricing puzzles, and they have all been examined exclusively in a representative agent framework.