Zur Kurzanzeige

dc.creatorCuratola, Giuliano
dc.date.accessioned2021-09-28T09:26:32Z
dc.date.available2021-09-28T09:26:32Z
dc.date.issued2016-05-13
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2229
dc.description.abstractThis paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the same portfolio of risky assets which is biased toward stocks of sectors that produce a socially preferred good. Price-dividend ratios, expected returns and return volatility are all time varying. In this way, preference evolution helps rationalize the observed under-performance and local biases of investors' portfolios and many empirical regularities of stock returns such a time variation, the value-growth effect and stochastic volatility.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectMacro Finance
dc.titlePreference Evolution and the Dynamics of Capital Markets
dc.typeWorking Paper
dc.source.filename128_SSRN-id2747269
dc.identifier.safeno128
dc.subject.keywordsasset pricing
dc.subject.keywordsgeneral equilibrium
dc.subject.keywordsheterogeneous investors
dc.subject.keywordsinterdependent preferences
dc.subject.keywordsportfolio choice
dc.subject.jelD51
dc.subject.jelD91
dc.subject.jelE20
dc.subject.jelG12
dc.subject.topic1seminal
dc.subject.topic1reproduce
dc.subject.topic1tend
dc.subject.topic2level
dc.subject.topic2lagrange
dc.subject.topic2agent
dc.subject.topic3perception
dc.subject.topic3sector
dc.subject.topic3concern
dc.subject.topic1nameSaving and Borrowing
dc.subject.topic2nameMonetary Policy
dc.subject.topic3nameConsumption
dc.identifier.doi10.2139/ssrn.2747269


Dateien zu dieser Ressource

Thumbnail

Das Dokument erscheint in:

Zur Kurzanzeige

Attribution-ShareAlike 4.0 International
Solange nicht anders angezeigt, wird die Lizenz wie folgt beschrieben: Attribution-ShareAlike 4.0 International