The Implications of Heterogeneity and Inequality for Asset Pricing

Stavros Panageas

No 26974, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Does heterogeneity matter for asset pricing and in particular for risk premiums? Starting with an irrelevance result, I classify the literature into two groups of papers taking different routes to link investor heterogeneity and risk premiums. The first group contains models of investors who differ in terms of their preferences, beliefs, or access to markets. Despite their differences, these models have similar implications, and can be analyzed in a unified way. The second group of papers consists of models where investors experience uninsurable income shocks. The goal of this survey is to provide one unified framework to better understand this large literature, and especially to reconcile several of the seemingly inconsistent results found in some seminal papers.

JEL-codes: E21 G12 (search for similar items in EconPapers)
Date: 2020-04
New Economics Papers: this item is included in nep-mac
Note: AP EFG ME
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Citations: View citations in EconPapers (21)

Published as Stavros Panageas, 2020. "The Implications of Heterogeneity and Inequality for Asset Pricing," Foundations and Trends® in Finance, vol 12(3), pages 199-275.

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Journal Article: The Implications of Heterogeneity and Inequality for Asset Pricing (2020)
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