The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach

In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters’ intertemporal marginal rates of substitution in the 1984–2002 period. The result is driven by the skewness of the cluster-based cross-sectional distribution of consumption growth, but cannot be explained by the cross-sectional variance and mean alone. We find that nine clusters are sufficient to explain the equity premium with relative risk aversion coefficient equal to six. The result is robust to various averaging schemes of cluster-based consumption growth used to construct the SDF. Lastly, the analysis reveals that standard approximation schemes of the SDF using individual household data produce unreliable results, implying a negative SDF.     

Stigma toward internalizing and externalizing disorders: How do adolescents perceive their peers? A network analysis approach

This study's first aim was to explore whether stigma's facets differ between internalizing and externalizing disorders in adolescence. The second aim was to compare the relationships among stigma's facets toward these disorders. Two vignettes depicting a peer with Major Depressive Disorder (MDD) or Attention-Deficit Hyperactivity Disorder (ADHD) were used with 616 adolescents in Italy. A Repeated measure MANOVA showed biogenetic causes, social distancing, and discomfort were more attributed to depression, while dangerousness to ADHD. Furthermore, a Psychometric Network Analysis showed no differences between these disorders in the relations among stigma's components. However, dangerousness seemed to be among the nodes with the highest levels of “strength,” confirming previous literature that shows that dangerousness plays a major role in stigma.