{"title":"异质性偏好、投资和资产定价","authors":"Bo Liu, Lei Lu, Congming Mu, Jinqiang Yang","doi":"10.1111/fima.12350","DOIUrl":null,"url":null,"abstract":"<p>We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rate. Compared to the exchange economy, the aggregate consumption-capital ratio and aggregate consumption volatility is reduced. The risk premium and the volatility of stock return increase when moving from the exchange economy to the production economy. We also find that the volatility of Tobin's <i>q</i> exhibits an inverted-U-shape and Tobin's <i>q</i> is procyclical.</p>","PeriodicalId":48123,"journal":{"name":"Financial Management","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2021-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1111/fima.12350","citationCount":"0","resultStr":"{\"title\":\"Heterogeneous preferences, investment, and asset pricing\",\"authors\":\"Bo Liu, Lei Lu, Congming Mu, Jinqiang Yang\",\"doi\":\"10.1111/fima.12350\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rate. Compared to the exchange economy, the aggregate consumption-capital ratio and aggregate consumption volatility is reduced. The risk premium and the volatility of stock return increase when moving from the exchange economy to the production economy. We also find that the volatility of Tobin's <i>q</i> exhibits an inverted-U-shape and Tobin's <i>q</i> is procyclical.</p>\",\"PeriodicalId\":48123,\"journal\":{\"name\":\"Financial Management\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2021-03-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1111/fima.12350\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Financial Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1111/fima.12350\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Management","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1111/fima.12350","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Heterogeneous preferences, investment, and asset pricing
We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rate. Compared to the exchange economy, the aggregate consumption-capital ratio and aggregate consumption volatility is reduced. The risk premium and the volatility of stock return increase when moving from the exchange economy to the production economy. We also find that the volatility of Tobin's q exhibits an inverted-U-shape and Tobin's q is procyclical.
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Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.
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