We derive representations for the stock price drift and volatility in theequilibrium of agents with arbitrary, heterogeneous utility functionsand with the aggregate dividend following an arbitrary Markov diffusion.We introduce a new, intrinsic characteristic of the aggregate dividendprocess that...

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process...

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...

In the first three decades of CRSP data, value stocks have higher betas than growth stocks.Later on, the ranking is reversed and the gap in beta widens. What makes growth strategiesnowadays bear more market risk than value strategies? What are the causes of the reversalin the ranking of betas?...

Theoretical models predict that the value of a real option should be increasing in the volatility ofthe underlying asset. Thus, if real options are economically important, then firm values should bepositively related to volatility. Consistent with this prediction, we find evidence that stock...

A simple consumption-based two-period model is used to study the (theoretical)effects of disagreement on asset prices. Analytical and numerical results showthat individual uncertainty has a much larger effect on risk premia than disagreementif (i) the risk aversion is reasonably high and (ii)...

This article studies the e¤ect of limited commitment on stock return volatility in a dynamicgeneral equilibrium economy populated by investors with heterogeneous beliefs. Due to het-erogeneity of beliefs investors disagree about the fundamentals, introducing an additional riskfactor denoted...