Startseite Nonrevealing Equilibria and Consumption-Based Asset Pricing Models
Artikel
Lizenziert
Nicht lizenziert Erfordert eine Authentifizierung

Nonrevealing Equilibria and Consumption-Based Asset Pricing Models

  • James E Gunderson
Veröffentlicht/Copyright: 17. Dezember 2006

In the rational expectations equilibrium of this paper, agents have private information and differing information partitions and therefore assign differing conditional distributions to asset payoffs and other economic variables relevant to their investment choices. Standard asset pricing models typically do not recognize the impact of these differing information partitions, and empirical tests based on these models thus measure asset riskiness in a way that may not be relevant to any of the agents' decisions. I show how this can lead to distorted estimates of investment risk and how it can make the equity premium appear difficult to explain.

Published Online: 2006-12-17

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston

Artikel in diesem Heft

  1. Advances Article
  2. Evolutionary Dynamics and Long-Run Selection
  3. Party Competition under Private and Public Financing: A Comparison of Institutions
  4. Limited Observation in Mutual Consent Networks
  5. Status Concerns and Occupational Choice Under Uncertainty
  6. Choice under Limited Uncertainty
  7. A Vague Theory of Choice over Time
  8. Strategic Implications of Uncertainty over One's Own Private Value in Auctions
  9. Contributions Article
  10. Snobs and Quality Gaps
  11. General Option Exercise Rules, with Applications to Embedded Options and Monopolistic Expansion
  12. Liars and Inspectors: Optimal Financial Contracts When Monitoring is Non-Observable
  13. Inefficiency in a Bilateral Trading Problem with Cooperative Investment
  14. A Spatial Election with Common Values
  15. Is Sustainable Development Compatible with Rawlsian Justice?
  16. Multiple Lending and Constrained Efficiency in the Credit Market
  17. The Uniqueness of Stable Matchings
  18. Assessing the Likelihood of Panic-Based Bank Runs
  19. Are Manufacturers Competing through or with Supermarkets? A Theoretical Investigation
  20. Existence of Equilibrium for Segmented Markets Models with Interest Rate Monetary Policies
  21. Affiliated Common Value Auctions with Differential Information: The Two Bidder Case
  22. The Emergence of a Price System from Decentralized Bilateral Exchange
  23. Finite Memory Distributed Systems
  24. Topics Article
  25. Special Interest Politics and Endogenous Lobby Formation
  26. Robust Portfolio Selection with and without Relative Entropy
  27. Increased Risk-Bearing with Background Risk
  28. Resources as an Input of Production in a Two-Sector Economy
  29. Why the Reserve Price Should Not Be Kept Secret
  30. A Strategic Analysis of Terrorist Activity and Counter-Terrorism Policies
  31. The Role of Observability in Futures Markets
  32. An Amendment to Baumol's Burden Test
  33. Pareto Improving Lotteries and Voluntary Public Goods Provision
  34. Endogenous Favoritism in Organizations
  35. Age Bias in Fiscal Policy: Why Does the Political Process Favor the Elderly?
  36. Fundamental and Secondary R&D Races
  37. Rat Races and Glass Ceilings
  38. On the Number of Contestants and Equilibrium Individual Effort
  39. Vertical Differentiation: Multiproduct Strategy to Face Entry?
  40. Rational Sabotage in Cooperative Production with Heterogeneous Agents
  41. Competitive Externalities in Dynamic Monopolies with Stochastic Demand
  42. On the Signalling Role of Debt Maturity
  43. Equilibrium Uniqueness in a Cournot Model with Demand Uncertainty
  44. Monopoly Pricing over Time and the Timing of Investments
  45. Shirking and Squandering in Sharing Games
  46. Nonrevealing Equilibria and Consumption-Based Asset Pricing Models
Heruntergeladen am 18.11.2025 von https://www.degruyterbrill.com/document/doi/10.2202/1534-598X.1335/pdf?lang=de
Button zum nach oben scrollen