消费习惯、异质偏好与资产定价

摘要

建立了拥有两类投资者的模型:一类具有“内在性消费习惯”,该习惯依赖于其自身的消费,投资者在进行消费选择时均要考虑内在消费习惯的影响;另一类具有“外在性消费习惯”,该习惯依赖于总的消费水平但不影响消费决策.用这种模型来分析异质偏好对资产定价的影响.发现在通常情形下,内在消费习惯增加股权溢价水平,而外在性消费习惯对股权溢价的影响取决于习惯水平与风险资产的相关性.%In this paper, an equilibrium model of asset pricing is put forward. The basic model considers a production economy of two classes of investors with different habits formations: one class have an " internal habit" , which depends on an agent' s own consumption and which is taken into account when the agent decides how much to consume; the other have an "external habit" , which depends on the aggregate consumption that is unaffected by any agent' s decisions. The model is used to examine the effect of preference heterogeneity on asset pricing. It is found that, generally, the internal habit increases the equity premium while the effect of the external habit on equity premium is dependent on the correlation between the habits levels and risk assets.