Time-inconsistent preferences, investment and asset pricing

被引：7
|
作者：
Liu, Bo [1 ]
Lu, Lei [2 ]
Mu, Congming [3 ]
Yang, Jinqiang [4 ]
机构：
[1] Univ Elect Sci & Technol China, Sch Management & Econ, Chengdu, Peoples R China
[2] Univ Manitoba, Asper Sch Business, Winnipeg, MB R3T 2N2, Canada
[3] Shanghai Univ Finance & Econ, Sch Finance, WuJiao, Yangpu, Peoples R China
[4] Shanghai Univ Finance & Econ, Sch Finance, Shanghai Key Lab Financial Informat Technol, WuJiao, Yangpu, Peoples R China
来源：
ECONOMICS LETTERS | 2016年 / 148卷
基金：
中国国家自然科学基金;
关键词：
Time-inconsistent preferences; Investment; Consumption; Interest rate; UNCERTAINTY;
D O I：
10.1016/j.econlet.2016.09.015
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we present a production-based asset pricing model in which agents have time-inconsistent preferences. We find that the time-inconsistent preferences lead to under-investment, over-consumption, and higher interest rate. These variables are distorted more in the economy with naive agent than the economy with sophisticated agent. In particular, the sophisticated agent invests more and consumes less than the naive agent, but invests less and consumes more than the time-consistent agent. The interest rate in the sophisticated agent economy is lower than that in the naive agent economy, but higher than that in the time-consistent agent economy. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：48 / 52
页数：5
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