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Asset Pricing with Overlapping Generations and the Housing Market

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  • Zhihong Shi

    (SUNY College at Old Westbury, U.S.A.)

Abstract

This paper investigates a consumption-based asset pricing model in a three-period overlapping generations (OLG) setting. In each period, there is a representative agent from one of three age groups ¡V young, middle-aged, and old. As the agent grows older, he becomes more risk averse. The consumption of the representative agents includes housing, and perishable goods and non-housing service. The higher risk aversion in the old cohort and the additional risk in the consumption composition may help to explain the risk-free rate puzzle and the risk premium puzzle with lower relative risk aversion.

Suggested Citation

  • Zhihong Shi, 2018. "Asset Pricing with Overlapping Generations and the Housing Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 17-24, June.
    • Handle: RePEc:ijb:journl:v:17:y:2018:i:1:p:17-24
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    References listed on IDEAS

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