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Instability of Financial Markets and Preference Heterogeneity

机译:金融市场的不稳定性和偏好的异质性

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This paper presents a simple rational expectations model of intertemporal asset pricing relating instability of stock return characteristics to heterogeneity in investor preferences. Heterogeneity is likely to generate declining aggregate relative risk aversion. This leads to variability in expected asset returns, volatility, and autocorrelation. The stronger this variability is, the more heterogeneous preferences are, implying more instability of financial markets. Stock market crashes may be observed if relative risk aversion differs strongly across investors.
机译:本文提出了一个跨期资产定价的简单理性预期模型,该模型将股票收益率特征的不稳定性与投资者偏好的异质性联系起来。异质性很可能导致总体相对风险规避下降。这导致预期资产收益率,波动性和自相关性的变化。这种可变性越强,偏好的异质性就越强,这意味着金融市场更加不稳定。如果相对风险规避在投资者之间差异很大,则可能会观察到股市崩盘。

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