A number of theoretical studies have explained the existence of arbitrage opportunity with so called ¡§noise traders¡¨ (e.g., De Long et al., 1990; Shleifer and Vishny, 1997; Abreu and Brunnermeier, 2002). In fact, noise traders can create the arbitrage opportunity because they are quite influential...

In this paper, an agent-based computational capital asset pricing model is applied to address an issue, known as the elasticity puzzle, originating from a famous reciprocal relation between the elasticity of intertemporal substitution (EIS) and the relative risk aversion (RRA) coefficient. By...