Asset Pricing with Relative Performance and Heterogeneous Agents

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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.

References

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