Instability of Financial Markets and Preference Heterogeneity
This paper presents a simple rational expectations model of intertemporal asset pricing relating instability of stock return characteristics to heterogeneity in investor preferences. Heterogeneity is likely to generate declining aggregate relative risk aversion. This leads to variability in expected...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Asia University
2010-01-01
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| Series: | Advances in Decision Sciences |
| Online Access: | http://dx.doi.org/10.1155/2010/791025 |