Heterogeneous Wealth Preference and Asset Pricing

摘要

In this paper,we investigates Merton's [1] continuous-time version of asset pricing model with heterogeneous wealth preference.With our model,we found:when there exist two types investor with the different wealth preference (or spirit of capitalism) as Bakshi and Chen [2] described,the social wealth affect equity premium.When the risky asset returns positively correlates to average social wealth,the spirit of capitalism increase premium;contrarily the effect of capitalism spirit dependent the ratio of investor Ⅱ wealth to the total wealth:under a high ratio the spirit of capitalism increases premium too.But under a lower ratio the spirit of capitalism decreases premium.