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Asset Pricing with Relative Performance and Heterogeneous Agents
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
London School of Economics, London, UK
Hanqing Advanced Institute and School of Finance, Renmin University of China, Beijing, China
- 1 Department of Economics, College of Business, Florida Atlantic University, Boca Raton, USA
- 2 Hanqing Advanced Institute and School of Economics, Renmin University of China, Beijing, China
- 3 London School of Economics, London, UK
- 4 Hanqing Advanced Institute and School of Finance, Renmin University of China, Beijing, China
Theoretical Economics Letters·Volume 02 (2012)·Pages 520–523·Published 19 December 2012·DOI10.4236/tel.2012.25096
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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.
KeywordsPortfolio ChoiceAsset PricingRelative Performance
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