Heterogeneous Agents Reading Group
May – Jun 2022
The main task of this reading group is to review and discuss the literature on heterogeneous agents in asset pricing to do research in this area.
Schedule: Saturday, 6 pm – 7.30 pm (Lima time)
- (30 min) Presentation paper 1
- (30 min) Presentation paper 2
- (30 min) Discussion
| Session | Paper | Presented by |
|---|---|---|
| Session 1 (May 7) | Introduction (15 min) Panageas (2020) | Hamilton Galindo Hamilton Galindo (PDF) |
| Session 2 (May 21) | Dumas (1989) Wang (1996) | Hamilton Galindo (PDF) Hamilton Galindo (PDF) |
| Session 3 (May 28) | Chan and Kogan (2002) Kogan et al. (2007) | Gianfranco Quequezana Angie Huillca |
| Session 4 (June 04) | Xiouros and Zapatero (2010) Roche (2011) | Rodney Menezes Jean Taipe |
| Session 5 (June 11) | Vasicek (2005) Vasicek (2013) | Evelyn Sanchez Cesar Ramos |
| Session 6 (June 18) | Schneider (2021) Galindo (2022) | Michael Medina Hamilton Galindo |
| Reference – Bhamra, Harjoat S. and Raman Uppal (2014), ‘Asset Prices with Heterogeneity in Preferences and Beliefs’, The Review of Financial Studies 27(2), 519–580. – Chan, Yeung Lewis and Leonid Kogan (2002), ‘Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices’, journal of political economy p. 31. – Dumas, Bernard (1989), ‘Two-Person Dynamic Equilibrium in the Capital Market’, The Review of Financial Studies 2(2), 157–188. – Galindo, Hamilton (2022), ‘A Production Economy with Heterogeneous Habit Preferences’, Working Paper. – Heaton, John and Deborah Lucas (1995), ‘The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices’, Carnegie-Rochester Conference Series on Public Policy (42). – Kogan, Leonid, Igor Makarov and Raman Uppal (2007), ‘The equity risk premium and the riskfree rate in an economy with borrowing constraints,’ Mathematics and Financial Economics 1(1), 1–19. – Panageas, Stavros (2020), The Implications of Heterogeneity and Inequality for Asset Pricing, Technical Report w26974, National Bureau of Economic Research. – Roche, Hervé (2011), ‘Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk-free bond is available’, p. 17. – Schneider, Andres (2021), ‘Risk Sharing and the Term Structure of Interest Rates’, The Journal of Finance p. 69. – Vasicek, Oldrich Alfons (2005), ‘The economics of interest rates’, Journal of Financial Economics p. 15. – Vasicek, Oldrich Alfons (2013), ‘General equilibrium with heterogeneous participants and discrete consumption times’, Journal of Financial Economics 108(3), 608–614. – Wang, Jiang (1996), ‘The term structure of interest rates in a pure exchange economy with heterogeneous investors’, Journal of Financial Economics p. 36. – Xiouros, Costas and Fernando Zapatero (2010), ‘The Representative Agent of an Economy with External Habit Formation and Heterogeneous Risk Aversion’, The Review of Financial Studies 23(8), 3017–3047. |