Huang, Shiyang; Qiu, Zhigang; Shang, Qi; Tang, Ke - In: Journal of Banking & Finance 37 (2013) 11, pp. 4107-4119
We propose an equilibrium asset pricing model in which agents with heterogeneous beliefs care about relative performance. We find that the concern with relative performance leads agents to trade more similarly, a development that has two effects. First, similar trading directly decreases...