Output details
19 - Business and Management Studies
London Business School
Article title
Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
Type
D - Journal article
Title of journal
Review of Financial Studies
Article number
-
Volume number
21
Issue number
1
First page of article
415
ISSN of journal
1465-7368
Year of publication
2007
URL
-
Number of additional authors
-
Additional information
The previous work submitted to the RAE2008 has been significantly revised. The final version submitted to REF2014 includes several major new results:
• An analysis of time-variation in risk premium generated by the model and direct comparison with the empirical evidence.
• A study of the long-run risk properties of the model and including new results to show the trade-offs implied by calibration that could potentially generate the levels of long-run risk suggested in other models.
• The model was re-calibrated to improve the fit with the empirical evidence on cross-sectional wealth accumulation and to consider alternative forms of differences in preferences amongst the agents.
Interdisciplinary
-
Cross-referral requested
-
Research group
C - Finance
Proposed double-weighted
No
Double-weighted statement
-
Reserve for a double-weighted output
No
Non-English
No
English abstract
-
