Investors' inheterogeneity is one of the prevailing features on financial markets. Thus, the recent asset pricing literature has produced a number of general equilibrium models where agents have different preferences. This thesis analyzes the effect of preference heterogeneity on financial markets in economies where agents have non-standard preferences for consumption: the first chapter is dedicated to loss-aversion and heterogeneity in the reference level of consumption; the second chapter describes an economy where agents follow fashions in consumption and differ in their fashion sensitivity; the third chapter considers the case of catching up with the Joneses preferences, heterogeneous risk aversion and long-run risk for consumption.