消费习惯、异质偏好与动态资产定价:纯交换经济情形

本文用Chan和Kogan、Bask和Cuoco等的方法考虑纯交换经济下的定价问题,我们引进了两个投资者:一个具有外在性消费习惯;一个不具有消费习惯。我们重点考察消费习惯对投资者的最优消费规则的影响以及对资产价格的确定。此外,我们还考虑了对数效用函数下,消费习惯以差的形式出现的情形下的消费规则和定价问题。我们发现当两个投资者中一个具有消费习惯而另一个不具有该习惯时,消费习惯同时改变两个投资者的最优消费规则、消费动态和财富动态。此时的动态资产定价受外在性消费习惯的影响,即时Sharpe比为常数,并等于同质量经济下的即时Sharpe比。同时,如果考虑对数效用函数下消费习惯以差的形式出现,则即时Sharpe比是时变的,反周期的。

Habit Formation,Heterogeneous Preferences and the Dynamics of Asset Prices: Pure Exchange Economy Case

In this paper,Based on the Chan and Kogan、Bask and Cuoco models,we present a pure exchange equilibrium model of asset pricing.We consider two classes of investors with habits formations: one class have "external habit";the other class hasn't habit.We use the model to examine the effect of preference heterogeneity on investor's optimal consumption sharing rule and assets prices.We find habit formation will change investor's optimal consumption rule,wealth dynamic and consumption dynamic,but instantaneous Sharpe ratio of stock returns is as same as homogeneous case.