The equity risk premium and the riskfree rate in an economy with borrowing constraints

被引：17

作者：

Kogan L. ^{[1
]}

Makarov I. ^{[2
]}

Uppal R. ^{[2
,3
]}

机构：

[1] Sloan School of Management E52-434, Massachusetts Institute of Technology, Cambridge, MA 02142

[2] London Business School, London NW1 4SA

[3] CEPR and London Business School, London NW1 4SA

来源：

Mathematics and Financial Economics | 2007年 / 1卷 / 1期

关键词：

Asset pricing; General equilibrium; Incomplete markets; Portfolio choice;

D O I：

10.1007/s11579-007-0001-3

中图分类号：

学科分类号：

摘要：

Our objective is to study analytically the effect of borrowing constraints on asset returns. We explicitly characterize the equilibrium for an exchange economy with two agents who differ in their risk aversion and are prohibited from borrowing. In a representative-agent economy with CRRA preferences, the Sharpe ratio of equity returns and the riskfree rate are linked by the risk aversion parameter. We show that allowing for preference heterogeneity and imposing borrowing constraints breaks this link. We find that an economy with borrowing constraints exhibits simultaneously a relatively high Sharpe ratio of stock returns and a relatively low riskfree interest rate, compared to both representative-agent and unconstrained heterogeneous-agent economies. © Springer-Verlag 2007.

引用

页码：1 / 19

页数：18

共 15 条

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