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Market Frictions, Arbitrage, and the Capitalization of Amenities
Ouazad, Amine - 2019
The price-amenity arbitrage is a cornerstone of spatial economics, as the response of land and house prices to shifts … amenities. With informational, time, and cash constraints, households' ability to arbitrage across locations with different …
Persistent link: https://www.econbiz.de/10012889494
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Imperfect Financial Markets and Shareholder Incentives in Partial and General Equilibrium
Albagli, Elias - 2017
We analyze the firm-level and aggregate consequences of equity market imperfections in the form of noisy information aggregation for corporate risk-taking and investment. Market imperfections cause controlling shareholders to invest too much in upside risks and too little in downside risks in an...
Persistent link: https://www.econbiz.de/10012955940
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Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns
Brunnermeier, Markus K. - 2007
Human beings want to believe that good outcomes in the future are more likely, but also want to make good decisions that increase average outcomes in the future. We consider a general equilibrium model with complete markets and show that when investors hold beliefs that optimally balance these...
Persistent link: https://www.econbiz.de/10012777581
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Arbitrage and Mean-Variance Analysis on Large Asset Markets
Chamberlain, Gary - 2010
' result. Hence only a principal components analysis is needed to test the arbitrage pricing theory. Our eigenvalue conditional …We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies …
Persistent link: https://www.econbiz.de/10012762599
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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Chamberlain, Gary - 2010
We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies …
Persistent link: https://www.econbiz.de/10012763049
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A Market Based Solution to Price Externalities : A Generalized Framework
Kilenthong, Weerachart T. - 2014
constrained-efficient allocation. The key as in general equilibrium theory is to extend the commodity space in such a way that …
Persistent link: https://www.econbiz.de/10013051308
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The Dynamics of Financially Constrained Arbitrage
Gromb, Denis - 2015
We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital … the dynamics of arbitrage activity are self-correcting: following a shock that depletes arbitrage capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When arbitrage capital is more mobile across …
Persistent link: https://www.econbiz.de/10013027277
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Externalities as Arbitrage
Hebert, Benjamin - 2022
particular on arbitrage opportunities, I construct an “externality-mimicking portfolio” whose returns track the externalities …
Persistent link: https://www.econbiz.de/10013406874
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Tariffs in an Economy with Incomplete Markets and Unemployment
Fernández, Raquel - 2011
This paper examines the optimal labor contract in a small open economy with incomplete markets under international price uncertainty. The effect on employment, wages, and profits of different realizations of the state of nature is studied and agents' preferences concerning the implementation of...
Persistent link: https://www.econbiz.de/10013124657
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Solving General Equilibrium Models with Incomplete Markets and Many Assets
Evans, Martin D.D. - 2011
This paper presents a new numerical method for solving general equilibrium models with many assets. The method can be applied to models where there are heterogeneous agents, time-varying investment opportunity sets, and incomplete markets. It also can be used to study models where the...
Persistent link: https://www.econbiz.de/10013125072