We identify possible long-run market shares and the long-run asset price dynamics of financial markets with heterogenous interacting agents. This involves stability conditions for a class of difference equation in a random environment, where the random environment is endogenously generated by...

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.

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.

This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important...

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.

We study the minimal/endogenous solution R to the maximum recursion on weighted branching trees given by R=D(⋁i=1NCiRi)∨Q, where (Q,N,C1,C2,…) is a random vector with N∈N∪{∞}, P(|Q|0)0 and nonnegative weights {Ci}, and {Ri}i∈N is a sequence of i.i.d. copies of R independent of...

Consider the linear nonhomogeneous fixed-point equation R=D∑i=1NCiRi+Q, where (Q,N,C1,C2,…) is a random vector with N∈{0,1,2,3,…}∪{∞},Ci≥0 for all i∈N, P(|Q|0)0, and {Ri}i∈N is a sequence of i.i.d. random variables independent of (Q,N,C1,C2,…) having the same distribution as...

This paper addresses the statistical properties of time series driven by rational bubbles a la Blanchard and Watson (1982). Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes...