Segmentation and beliefs: a theory of self-fulfilling idiosyncratic risk

DOI10.1016/J.JET.2024.105954MaRDI QIDQ6664615zbMATH OpenFDO

Authors Paymon Khorrami, Alexander K. Zentefis

Publication date 16 January 2025

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

zbMATH Keywords

volatilitymultiple equilibriaasset pricingidiosyncratic risksegmented markets

Mathematics Subject Classification ID

Mathematical economics (91Bxx)

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Cites work

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• International Risk Sharing and the Transmission of Productivity Shocks
• International liquidity and exchange rate dynamics
• Managing with Style: The Effect of Managers on Firm Policies
• Multiple equilibria in open economies with collateral constraints
• Quadratic BSDEs with random terminal time and elliptic PDEs in infinite dimension.
• Rational Asset Pricing Bubbles
• Rational equilibrium asset-pricing bubbles in continuous trading models
• Risk premium shocks can create inefficient recessions
• SELF-FULFILLING PROPHECIES AND THE BUSINESS CYCLE
• Selection, Growth, and the Size Distribution of Firms
• Self-fulfilling prophecies
• Sentiments and aggregate demand fluctuations
• Sunspot-like effects of random endowments
• The risk-free rate in heterogeneous-agent incomplete-insurance economies

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