Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints

被引：29

作者：

Chabakauri, Georgy ^{[1
]}

机构：

[1] London Sch Econ, Dept Finance, London WC2A 2AE, England

来源：

JOURNAL OF MONETARY ECONOMICS | 2015年 / 75卷

关键词：

Heterogeneous investors; Borrowing constraints; Short-sale constraints; Limited participation; Volatility; MARGIN REQUIREMENTS; DYNAMIC EQUILIBRIUM; STOCK; MARKET; PRICES; MODEL;

D O I：

10.1016/j.jmoneco.2014.11.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various constraints and conditions under which these constraints help match certain empirical facts about asset prices. Under these conditions, borrowing and short-sale constraints decrease stock return volatilities, whereas limited stock market participation constraints amplify them. Moreover, borrowing constraints generate spikes in interest rates and volatilities and have stronger effects on asset prices than short-sale constraints. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：21 / 34

页数：14

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