Asset Pricing with Relative Performance and Heterogeneous Agents - Theoretical Economics Letters

TEL > Vol.2 No.5, December 2012

Asset Pricing with Relative Performance and Heterogeneous Agents ()

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DOI: 10.4236/tel.2012.25096 4,185 Downloads 6,440 Views Citations

Author(s)

Ting Levy, Xiangbo Liu, Zijun Liu, Zhigang Qiu

Affiliation(s)

Department of Economics, College of Business, Florida Atlantic University, Boca Raton, USA.
Hanqing Advanced Institute and School of Economics, Renmin University of China, Beijing, China.
Hanqing Advanced Institute and School of Finance, Renmin University of China, Beijing, China.
London School of Economics, London, UK.

ABSTRACT

This paper studies the impact of relative performance on portfolio choices and asset prices when fund managers differ in size and exogenous financial shocks. We find that with these heterogeneities, fund managers change their trading behaviors significantly.

KEYWORDS

Portfolio Choice; Asset Pricing; Relative Performance

Share and Cite:

T. Levy, X. Liu, Z. Liu and Z. Qiu, "Asset Pricing with Relative Performance and Heterogeneous Agents," Theoretical Economics Letters, Vol. 2 No. 5, 2012, pp. 520-523. doi: 10.4236/tel.2012.25096.

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