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Asset Pricing with Heterogeneous Consumers
Open accessAbstract
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.
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Citations
Cited by
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Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Prospect Theory and Asset Prices
Barberis, N., Huang, M., & Santos, T. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556310 · Cited by 1,895
Inequality, stock market participation, and the equity premium
Favilukis, J. (2013) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.10.008 · Cited by 156
A New Test of Risk Factor Relevance
CHINCO, A., HARTZMARK, S. M., & SUSSMAN, A. B. (2022) · The Journal of Finance · doi:10.1111/jofi.13135 · Cited by 75
Metadata
- Authors
- Constantinides, G. M., & Duffie, D.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1996-04
- Volume
- 104
- Issue
- 2
- Pages
- 219-240
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2026605399
- Cited by
- 1,196
- References
- 0
- FWCI
- 31.21
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
