Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
نویسندگان
چکیده
منابع مشابه
Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
In this paper, we study the effect of proportional transaction costs on consumptionportfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has multiple investors with stochastic labor income, heterogeneous beliefs, and heterogeneous Epstein-Zin-We...
متن کاملAsset Prices in General Equilibrium with Transactions Costs and Recursive Utility
In this paper, we study the effect of proportional transactions costs on asset prices and liquidity premia in a general equilibrium economy with multiple agents who are heterogeneous. The agents in our model have Epstein-Zin-Weil utility functions and can be heterogeneous with respect to endowments and all three characteristics of their utility functions – time preference, risk aversion, and el...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملConsumption and Asset Prices with Recursive Preferences
We analyze consumption and asset pricing with recursive preferences given by Kreps–Porteus stochastic differential utility (K–P SDU). We show that utility depends on two state variables: current consumption and a second variable (related to the wealth–consumption ratio) that captures all information about future opportunities. This representation of utility reduces the internal consistency cond...
متن کاملEquilibrium models with singular asset prices
General equilibrium models in which economic agents have finite marginal utility from consumption at the origin lead to financial assets whose prices are continuous but exhibit singular components. In particular, there is no bona—fide "interest rate" in such models, although asset prices can be determined by equilibrium considerations (and uniquely, up to the formation of mutual funds). The sin...
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: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2397083