Does income, preference, or belief heterogeneity matter for asset pricing? Starting with an irrelevance theorem due to Grossman and Shiller, this survey presents a unified view of the research that has studied the connection between heterogeneity and asset prices.
These are the slides from my presentation at the NFA. The audience was assistant professors and the goal was to document some recent trends in finance academia. These slides are based on Web of Knowledge data, combined with additional information from the websites of more than one thousand academic CVs over the last forty years. The slides document a declining impact of publications in recent years, especially for more recent researcher cohorts.
Why did interest rates start declining in the mid-eighties, while aggregate growth started declining fifteen years later? Understanding the different income and consumption profiles of different generations may hold the answer to these questions.
How does disruption affect the required discount rates across broad asset classes (private equity, venture capital, real estate, conventional equities, fixed income)? What are the portfolio implications of disruption from the perspective of an investor?
Does increased volatility lead to increased retained earnings? How do financing constraints impact investment decisions of firms? This paper provides new insights into these questions.
In regressions of the investment-capital ratio on average q and cash flow, the coefficient on average q doesn't isolate the impact of profitability and the coefficient on cash flow doesn't isolate the impact of financial constraints.