Sharing idiosyncratic risk even though prices are ``wrong

DOI10.1016/J.JET.2021.105400MaRDI QIDQ2123181zbMATH OpenOpenAlexFDO

Authors Edward Halim, Yohanes E. Riyanto, Nilanjan Roy

Publication date 8 April 2022

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2021.105400

zbMATH Keywords

aggregate riskasset price bubblesconsumption smoothingexperimentsgeneral equilibrium theoryidiosyncratic risk

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50) Heterogeneous agent models (91B69)

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Cites work

• A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest Rates
• An experimental study of decisions in dynamic optimization problems
• An experimental test of the Lucas asset pricing model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Prices in an Exchange Economy
• Handbook on systemic risk
• Initial cash/asset ratio and asset prices: An experimental study
• Price bubbles in laboratory asset markets with constant fundamental values
• The effect of the background risk in a simple chance improving decision model
• The Present-Value Relation: Tests Based on Implied Variance Bounds

Cited in

(2)

• Idiosyncratic risks, self-insurance, and stochastic bubbles
• The impact of asset purchases in an experimental market with consumption smoothing motives

Describes a project that uses

Uses Software

• Z-Tree

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