Asset Trading Volume With Dynamically Complete Markets And Heterogeneous Agents  

Oleh:

Schmedders, Karl ; Judd, Kenneth L. ; Kubler, Felix

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 5 (Oct. 2003), page 2203-2218.
Topik: MARKETS; securities trading; mathematical models; securities markets; studies
Fulltext: p 2203.pdf (154.49KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Trading volume of infinitely lived securities, such as equity, is generically zero in Lucas asset pricing models with heterogenous agents. More generally, the end - of - period portfolio of all securities is constant over time and states in the generic economy. General equilibrium restrictions rule out trading of equity after an initial period. This result contrasts the production of portfolio allocation analyses that portfolio rebalancing motives produce non trivial trade volume. Therefore, other causes of trade must be present in asset markets with large trading volume.

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