Essays on asset pricing, consumption and wealth.

摘要

This thesis contains two relatively independent topics. In Part I, a general framework to price an asset in a hierarchical segmented market is proposed. Part II studies the implications of age-dependent death rate in a continuous time overlapping-generations model on interest rates, consumption and wealth.;In Part I, we define a market as segmented if different investor groups have access to different sets of assets. In segmented markets that possess specific structure, which we term hierarchical, an orthogonalization procedure can be performed. With the aid of this orthogonal form, we derive general stochastic discount factor formulas, beta models, and factor models for pricing. Under a single period CARA utility function model, we obtain explicit asset pricing and portfolio selection formulas, and conduct welfare analysis. These results not only recover a number of previous results, but greatly broaden the scope by applying to general hierarchical segmented markets.;Another important topic in asset pricing is how to value a new asset whose payoff is not within the span of marketed assets. Motivated by previous work on so-called projection pricing in an integrated market, we propose a projection pricing formula for a hierarchical segmented market. We also show that it is straightforward to perform projection pricing under a CARA utility function and Gaussian payoffs by adjusting the appropriate aggregate absolute risk aversion coefficient. The approach is illustrated using a simple continuous time geometric Brownian motion model for IPO pricing.;In Part II, we study the economic effects of demographic change. Demographers have shown that there are regularities in mortality change over time, and have used these to forecast changes due to population aging. By working with the probability distribution of age at death and assuming that age at death is normally distributed, we focus on two aspects of demographic changes: life expectancy and variance of age at death. We show that the age-dependent death rate has significant implications on interest rates, consumption, and wealth in general equilibrium.