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Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
Open accessAbstract
1 We solve a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market participation and indi-vidual asset holdings. The high risk premium is driven by incomplete risk sharing among stockholders, which results from the combination of aggregate uncertainty, borrowing con-straints and a (realistically) calibrated life-cycle earnings profile subject to idiosyncratic shocks. We show that it is challenging to simultaneously match asset pricing moments and individual portfolio decisions, while limited participation has a negligible impact on the risk premium, contrary to the results of models where it is imposed exogenously. JEL Classification: G11, G12.
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Cites
What Do We Know about Capital Structure? Some Evidence from International Data
RAJAN, R. G., & ZINGALES, L. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb05184.x · Cited by 6,538
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Cited by
Financial Markets and the Real Economy
Cochrane, J. H. (2008) · Handbook of the Equity Risk Premium · doi:10.1016/b978-044450899-7.50014-2 · Cited by 543
Favilukis, J., Ludvigson, S. C., & Van Nieuwerburgh, S. (2017) · Journal of Political Economy · doi:10.1086/689606 · Cited by 538
A Parsimonious Macroeconomic Model for Asset Pricing
(2009) · Econometrica · doi:10.3982/ecta6658 · Cited by 363
Long‐Run Stockholder Consumption Risk and Asset Returns
MALLOY, C. J., MOSKOWITZ, T. J., & VISSING‐JØRGENSEN, A. (2009) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01507.x · Cited by 339
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
Metadata
- Authors
- Gomes, F., & Michaelides, A.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2007-11-13
- Volume
- 21
- Issue
- 1
- Pages
- 415-448
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2151418896
- Cited by
- 237
- References
- 2
- FWCI
- 41.92
- Type
- journal article
- Language
- en
- Open access
- green
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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.
