We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rate. Compared to the exchange economy, the aggregate consumption-capital ratio and aggregate consumption volatility is reduced. The risk premium and the volatility of stock return increase when moving from the exchange economy to the production economy. We also find that the volatility of Tobin's q exhibits an inverted-U-shape and Tobin's q is procyclical.

中文翻译：

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异质偏好、投资和资产定价

我们提出了一个基于生产的模型，其中代理人具有异质的风险厌恶和异质的贴现率。与交换经济相比，总消费资本比和总消费波动性降低。当从交换经济转向生产经济时，风险溢价和股票收益的波动性会增加。我们还发现，托宾q的波动率呈现倒 U 形，而托宾q是顺周期性的。