Heterogeneous Wealth Preference and Asset Pricing

被引：0
|
作者：
Xiong, Helping [1 ]
机构：
[1] Wuhan Univ, Sch Econ & Management, Wuhan 430072, Peoples R China
来源：
ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING | 2008年 / 5卷
关键词：
wealth preference; heterogeneous preferences; asset pricing; the social-wealth index;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we investigates Merton's [1] continuous-time version of asset pricing model with heterogeneous wealth preference. With our model, we found: when there exist two types investor with the different wealth preference (or spirit of capitalism) as Bakshi and Chen [2] described, the social wealth affect equity premium. When the risky asset returns positively correlates to average social wealth, the spirit of capitalism increase premium; contrarily the effect of capitalism spirit dependent the ratio of investor 11 wealth to the total wealth: under a high ratio the spirit of capitalism increases premium too. But under a lower ratio the spirit of capitalism decreases premium.
引用
收藏
页码：275 / 280
页数：6
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