清华大学中国金融研究中心金融前沿系列讲座之八
题目：“Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices”
Joint with Leonid Kogan
演讲者：Mr. Yeung Lewis CHAN
Assistant Professor of Finance
Hong Kong University of Science and Technology
时间：2002年12月18日（星期三）晚7：00
地点：经管学院北408
中国金融研究中心
ABSTRACT:
We analyze a general equilibrium exchange economy with a continuum of agents who have "catching up with the Joneses'' preferences and differ only with respect to the curvature of their utility functions. While individual risk aversion does not change over time, dynamic re-distribution of wealth among the agents leads to counter cyclical time variation in the Sharpe ratio of stock returns. We show that the level of stock prices is negatively related to both the conditional return volatility and the risk premium, as observed empirically. Therefore, our model also produces the correct sign for the slope coefficients in long-horizon predictive regressions. For comparison, otherwise similar representative agent economies with the same type of preferences exhibit counter-factual behavior of conditional moments of returns, i.e., a constant Sharpe ratio and procyclical risk premium and return volatility.
BRIEF BIO:
Yeung Lewis CHAN
Assistant Professor of Finance at the Hong Kong University of Science and Technology.
Chan's main research areas include asset-pricing theory in the presence of cross-sectional heterogeneity, and optimal portfolio management.
Chan's works are forthcoming in the Journal of Political Economy and the Journal of Financial Economics.
Chan received his Bachelor degree from University of Chicago, a Master degree in economics from Columbia, and a Ph.D. in economics from Harvard University.
