Comparative Valuation Dynamics in Production Economies: Long-Run Uncertainty, Heterogeneity, and Market Frictions

Lars Peter Hansen (), Paymon Khorrami and Fabrice Tourre
Additional contact information
Lars Peter Hansen: Department of Economics, University of Chicago, Chicago, Illinois, USA
Paymon Khorrami: The Fuqua School of Business, Duke University, Durham, North Carolina, USA
Fabrice Tourre: Department of Economics and Finance, Baruch College, City University of New York, New York, NY, USA

Annual Review of Financial Economics, 2024, vol. 16, issue 1, 1-38

Abstract: We compare and contrast production economies exposed to long-run uncertainty with investors that have possibly different preferences and/or access to financial markets. We study the macroeconomic and asset-pricing properties of these models, identify common features, and highlight areas where these models depart from each other. Our framework allows us to investigate more fully the impact of investor heterogeneity, capital heterogeneity, and fluctuations of the growth components to the capital evolution as they affect the dynamics of macroeconomic quantities and asset prices. In our comparisons, we employ an array of diagnostic tools to explore time variation and state dependencies in nonlinear environments.

Keywords: robustness; heterogeneous agents; asset pricing; diversification; market frictions; long-run uncertainty (search for similar items in EconPapers)
JEL-codes: C68 D45 D53 D81 G12 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1146/annurev-financial-082123-105652
Full text downloads are only available to subscribers. Visit the abstract page for more information.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:anr:refeco:v:16:y:2024:p:1-38

Ordering information: This journal article can be ordered from
http://www.annualreviews.org/action/ecommerce

DOI: 10.1146/annurev-financial-082123-105652

Access Statistics for this article

More articles in Annual Review of Financial Economics from Annual Reviews Annual Reviews 4139 El Camino Way Palo Alto, CA 94306, USA.
Bibliographic data for series maintained by http://www.annualreviews.org ().