Asset Pricing with Heterogeneous Consumers
Author | : George M. Constantinides |
Publisher | : |
Total Pages | : |
Release | : 1998 |
ISBN-10 | : OCLC:1291273368 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Asset Pricing with Heterogeneous Consumers written by George M. Constantinides and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free asset prices, dividends, and aggregate income, satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The Euler equations of consumption in a representative-agent economy are replaced by a set of Euler equations that depend not only on the per capita consumption growth but also on the cross-sectional variance of the individual consumers' consumption growth.