منابع مشابه
Liquidity and Asset Prices in Multiple Markets
Liquidity is generally viewed as a positive characteristic of a traded asset in positive net supply. Ceteris paribus, the higher liquidity of a given asset should be reflected in a higher price or a lower required return. This issue is of particular interest if the same asset is traded in multiple markets. In this setting, apart from the effect of liquidity on pricing in each market, there is t...
متن کاملEndogenous indeterminacy and volatility of asset prices under ambiguity
If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply of goods must appear in precise configurations, but the investment levels that generate these supplies arise systematically. That indeterminacy arises only ...
متن کاملPrices in Experimental Asset Markets under Uncertainty
This paper presents an experiment which investigates whether asset prices are affected in markets where state probabilities are not exactly known and traders have to form subjective probabilities of payoffs. Results show that the presence of vague probabilities leads to higher average prices with respect to assets characterised by known probabilities. However, prices under known and vague proba...
متن کاملSticky Prices and Indeterminacy
The aim of the present paper is to analyze the link between price rigidity and indeterminacy. This is done within a cash-in-advance economy from which we know that it exhibits indeterminacy at high degrees of relative risk aversion. I Þnd that price stickiness reduces the scope of these sunspot equilibria: sluggish price adjustment requires degrees of relative risk aversion compatible with inde...
متن کاملEquilibrium and arbitrage in incomplete asset markets with fixed prices
At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy a very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading c...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 1998
ISSN: 0022-0531
DOI: 10.1006/jeth.1998.2433