Endogenous participation risk in speculative markets

DOI10.1016/J.JEDC.2007.09.016zbMATH Open1181.91070OpenAlexW2085984096MaRDI QIDQ844708FDOQ844708

Authors: Edouard Challe 

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/12877

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zbMATH Keywords

asset price volatilityself-fulfilling expectationsincomplete participation

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Stochastic models in economics (91B70)

Cites Work

• Indeterminacy and increasing returns
• The Efficiency Analysis of Choices Involving Risk
• Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle
• Rational expectations equilibrium with conditioning on past prices: A mean-variance example
• Asset price volatility in a nonconvex general equilibrium model
• Sunspots and predictable asset returns.
• Asset price fluctuations without aggregate shocks

Cited In (4)

• Sunspots and predictable asset returns.
• Sorting in risk-aversion and asset price volatility
• Private information and sunspots in sequential asset markets
• Speculation and Risk Sharing with New Financial Assets*

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