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Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors

Chabakauri, Georgy - London School of Economics (LSE) - 2015

We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to rare large drops or, more generally, can have non-lognormal distribution with higher cumulants. The heterogeneity in preferences generates excess...

Persistent link: https://www.econbiz.de/10011126596

Arbitrage pricing and equilibrium pricing : compatibility conditions.

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001

financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … to construct a unique valuation operator which only depends on some particular price processes as well as on the …

Persistent link: https://www.econbiz.de/10008832173

Wealth-driven competition in a speculative financial market : examples with maximizing agents

Anufriev, Mikhail (contributor) - 2005

This paper demonstrates how both quantitative and qualitative results of general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk aversion assumption can be applied to the particular case of "linear" investment choices....

Persistent link: https://www.econbiz.de/10003320749

Expectations structure in asset pricing experiments

Bottazzi, Giulio (contributor); … - 2003 - [Elektronische Ressource]

Notwithstanding the recognized importance of traders' expectations in characterizing the observed market dynamics, for instance the formation of speculative bubbles and crashes on financial markets, little attention has been devoted so far by economists to a rigorous study of expectation...

Persistent link: https://www.econbiz.de/10002133504

Asset pricing model with heterogeneous investment horizons

Anufriev, Mikhail (contributor); … - 2004

particular, we consider traders who base their investment decision on different time horizons and we analyze the effect of these … differences on the price dynamics. Under suitable parameterization, the stock no-arbitrage "fundamental" price can emerge as a …

Persistent link: https://www.econbiz.de/10003211715

Price and wealth asymptotic dynamics with CRRA technical trading strategies

Anufriev, Mikhail (contributor); … - 2005

We consider a simple pure exchange economy with two assets, one riskless, yielding a constant return on investment, and one risky, paying a stochastic dividend. Trading takes place in discrete time and in each trading period the price of the risky asset is fixed by imposing market clearing...

Persistent link: https://www.econbiz.de/10003212664

Price and wealth dynamics in a speculative market with arbitrary number of generic technical traders

Anufriev, Mikhail (contributor); … - 2005

We consider a simple pure exchange economy with two assets, one riskless, yielding a constant return, and one risky, paying a stochastic dividend, and we assume trading to take place in discrete time inside an endogenous price formation setting. Traders demand for the risky asset is expressed as...

Persistent link: https://www.econbiz.de/10003209247

A Class of Models satisfying a Dynamical Version of the CAPM.

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2003

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Persistent link: https://www.econbiz.de/10008532425

Unexpected Media Coverage and Stock Market Outcomes : Evidence from Chemical Disasters.

Laguna, Marie-Aude - Université Paris-Dauphine

Using the event-study methodology and multivariate regressions, this paper examines the intensity of media coverage, its determinants and its marginal eﬀect on stock returns following chemical disasters. To do this, we build an original dataset of chemical explosions that occurred worldwide...

Persistent link: https://www.econbiz.de/10008924644

Viability and equilibrium in securities markets with frictions.

Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine - 1999

the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed …

Persistent link: https://www.econbiz.de/10008800242