Научный семинар Джиулиано Куратола (Швейцарский финансовый институт): «Asset Prices with Heterogeneous Loss Averse Investors»

11 февраля  в  16.30  в ауд. 3211  (ул. Шаболовка д. 26) прошел найчный семинар Международного института экономики и финансов.

Докладчик: Джиулиано Куратола (Швейцарский финансовый институт) 
Тема: «Asset Prices with Heterogeneous Loss Averse Investors»

Тезисы доклада: This paper considers a general-equilibrium model with loss-aversion in consumption and heterogeneity: there is a continuum of agents, with s-shaped utility, who differ in the time-varying reference level of consumption. Heterogeneity in the reference level is crucial for the existence of the equilibrium, which cannot be obtained with a representative agent or a discrete number of agents. Loss-aversion in consumption induces a kink in the pricing kernel and consequently, jumps in the market price of risk, stock return, and volatility. An economy populated with only loss-averse agents produces one counterfactual property of asset prices: the return volatility and the market price of risk are higher in good times than in bad times. The coexistence of both loss-averse and risk-averse agents in the economy helps fixing this undesirable property and also explains the dynamics of trading volume and its correlation with asset prices.