| 000 | 02566cam a22003377 4500 | ||
|---|---|---|---|
| 001 | w26607 | ||
| 003 | NBER | ||
| 005 | 20211020103916.0 | ||
| 006 | m o d | ||
| 007 | cr cnu|||||||| | ||
| 008 | 210910s2020 mau fo 000 0 eng d | ||
| 100 | 1 |
_aGârleanu, Nicolae B. _928649 |
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| 245 | 1 | 0 |
_aHeterogeneity and Asset Prices: _bA Different Approach / _cNicolae B. Gârleanu, Stavros Panageas. |
| 260 |
_aCambridge, Mass. _bNational Bureau of Economic Research _c2020. |
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| 300 |
_a1 online resource: _billustrations (black and white); |
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| 490 | 1 |
_aNBER working paper series _vno. w26607 |
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| 500 | _aJanuary 2020. | ||
| 520 | 3 | _aWe develop a tractable asset-pricing framework characterized by imperfect risk sharing among cohorts, who experience different levels of integrated life-time endowments. While all asset-pricing implications stem from the heterogeneity of consumption among investors, cross-sectional measures of inequality are non-volatile, only weakly related to asset prices, and far more persistent than the price-to-dividend ratio. We show how to identify a marginal agent's consumption growth in this framework by utilizing cross-sectional information. Our proposed notion of marginal-agent consumption growth exhibits different and more volatile low-frequency variation than the aggregate consumption growth per capita, which is normally used in representative agent models. These low frequency movements in our measure of marginal agent consumption growth can explain a large portion of the low frequency movements in real interest rates and, when combined with recursive preferences, can account quantitatively for the stylized asset-pricing facts (high market price of risk, equity premium, volatility, and return predictability). | |
| 530 | _aHardcopy version available to institutional subscribers | ||
| 538 | _aSystem requirements: Adobe [Acrobat] Reader required for PDF files. | ||
| 538 | _aMode of access: World Wide Web. | ||
| 588 | 0 | _aPrint version record | |
| 690 | 7 |
_aE21 - Consumption • Saving • Wealth _2Journal of Economic Literature class. |
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| 690 | 7 |
_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class. |
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| 700 | 1 |
_aPanageas, Stavros. _918118 |
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| 710 | 2 | _aNational Bureau of Economic Research. | |
| 830 | 0 |
_aWorking Paper Series (National Bureau of Economic Research) _vno. w26607. |
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| 856 | 4 | 0 | _uhttps://www.nber.org/papers/w26607 |
| 856 |
_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w26607 |
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_2ddc _cW-PAPER |
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_c321515 _d280077 |
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