Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems?  

Oleh:

Jacobs, Kris

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 54 no. 1 (Feb. 1999), page 123-163.
Fulltext: p 123.pdf (192.37KB)

Ketersediaan

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

Lihat Detail Induk

Isi artikel

This paper investigates Euler equations involving security prices and householdlevel consumption data. It provides a useful complement to many existing studies of consumption-based asset pricing models that use a representative-agent framework, because the Euler equations under investigation hold even if markets are incomplete. It also provides a useful complement to simulation-based studies of market incompleteness. The empirical evidence indicates that the theory is rejected by the data along several dimensions. The results therefore indicate that some well-documented asset-pricing puzzles do not result from aggregation problems for the preferences under investigation.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali