Heterogeneous preferences, investment, and asset pricing
构建了一个包含异质性风险厌恶和异质性贴现率的生产经济模型，发现相比交换经济，生产经济中总消费-资本比率和消费波动性降低，而风险溢价和股票收益波动性增加，Tobin's q波动呈倒U型且顺周期。
Abstract We present a production‐based model in which agents have heterogeneous risk aversion and heterogeneous discount rate. Compared to the exchange economy, the aggregate consumption‐capital ratio and aggregate consumption volatility is reduced. The risk premium and the volatility of stock return increase when moving from the exchange economy to the production economy. We also find that the volatility of Tobin's q exhibits an inverted‐U‐shape and Tobin's q is procyclical.