Ambiguous Information, Risk Aversion, and Asset Pricing
نویسندگان
چکیده
منابع مشابه
Asset Pricing Under Asymmetric Information About Distribution of Risk Aversion∗
We study a dynamic competitive equilibrium model with asymmetric information about time-variant aggregate risk aversion. We show that there still exists a linear price function in out model, a nice result in the other asymmetric information competitive equilibrium models. Furthermore, we show that in our model, asymmetric information play a role in the long run risk premium. When the proportion...
متن کاملAsset Pricing with Loss Aversion∗
Using standard preferences for asset pricing has not been very successful in matching asset price characteristics such as the risk-free interest rate, equity premium and the Sharpe ratio to time series data. Behavioral finance has recently proposed more realistic preferences such as those with loss aversion. Research is starting to explore the implications of behaviorally founded preferences fo...
متن کاملAgent-based analysis of asset pricing under ambiguous information
ions, pricing and other behavior is derived. Chapman and Polkovnichenko (2009) have recently shown that the lack of agent heterogeneity inherent in the representative agent approach may have important implications, particularly when the agent is not an expected utility maximizer. Specifically, these authors demonstrated that adding even one more agent to a market can qualitatively change the co...
متن کاملAmbiguous Volatility and Asset Pricing in Continuous Time
This paper formulates a model of utility for a continuous time framework that captures the decision-makers concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Ambiguous volatility implies market incompleteness that rules out perfect...
متن کاملCognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets∗
The behavior of agents in financial markets often displays biases or errors; for example, agents frequently do not compute probabilities correctly. However, we argue that these biases/errors are not always reflected in prices. In particular, we hypothesize that agents who make errors in computing probabilities lose confidence in their probability estimates when they face market prices that are ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1438126