Asset Prices under Random Risk Preferences
| dc.contributor.author | Tsang, Kwok Ping | en |
| dc.contributor.author | Tserenjigmid, Gerelt | en |
| dc.contributor.department | Economics | en |
| dc.date.accessioned | 2017-02-24T22:40:43Z | en |
| dc.date.available | 2017-02-24T22:40:43Z | en |
| dc.date.issued | 2016-12-05 | en |
| dc.description.abstract | We consider an overlapping-generations model with two types of investors: the stable investors have constant risk aversion, but the unstable investors have random levels of risk aversion across different generations. Investors are not sure about how risk averse future investors are. We show that i) a small amount of randomness in the risk aversion or ii) a small population of the unstable investors generates a large deviation from fundamental price and a high price volatility. | en |
| dc.description.notes | JEL Classifications: D80, D90, G12 | en |
| dc.description.version | Submitted version | en |
| dc.identifier.uri | http://hdl.handle.net/10919/75148 | en |
| dc.rights | In Copyright | en |
| dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | en |
| dc.subject | risk aversion | en |
| dc.subject | asset pricing | en |
| dc.subject | overlapping generations | en |
| dc.title | Asset Prices under Random Risk Preferences | en |
| dc.type | Article - Refereed | en |
| pubs.organisational-group | /Virginia Tech | en |
| pubs.organisational-group | /Virginia Tech/All T&R Faculty | en |
| pubs.organisational-group | /Virginia Tech/Science | en |
| pubs.organisational-group | /Virginia Tech/Science/COS T&R Faculty | en |
| pubs.organisational-group | /Virginia Tech/Science/Economics | en |