TITLE:
Asset Pricing with Relative Performance and Heterogeneous Agents
AUTHORS:
Ting Levy, Xiangbo Liu, Zijun Liu, Zhigang Qiu
KEYWORDS:
Portfolio Choice; Asset Pricing; Relative Performance
JOURNAL NAME:
Theoretical Economics Letters,
Vol.2 No.5,
December
28,
2012
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.