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Asset Pricing with Home Capital

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  • Michal Pakos

Abstract

I analyze a stylized consumption-based asset pricing model that features heterogeneous agents and household capital, and discover a novel recession risk factor related to the cross-sectional second moments of the corresponding investments into such home capital. In order to fully isolate the orthogonal effects at work, I completely shut off the well-known mechanism of Constantinides and Duffie (1996) by explicitly stipulating homoscedastic cross-sectional distribution of nondurable goods and services.

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File URL: https://student-3k.tepper.cmu.edu/gsiadoc/wp/2007-E28.pdf
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Bibliographic Info

Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 2007-E28.

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Date of creation: Dec 2008
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Handle: RePEc:cmu:gsiawp:2145807827

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Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
Web page: http://www.tepper.cmu.edu/

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Web: http://student-3k.tepper.cmu.edu/gsiadoc/GSIA_WP.asp

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