Equilibrium Asset Pricing with Epstein-Zin and Loss-Averse Investors


We study multi-period equilibrium asset pricing in an economy with EZ-agents whose preferences for consumption are represented by recursive utility and with LAagents who experience additional utility of trading gains and losses and are averse to losses. We propose an equilibrium gain-loss ratio for stocks and show that the LAagents hold less (more) stocks… (More)


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