The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure

Masamitsu Ohnishi (ohnishi@econ.osaka-u.ac.jp) and Yusuke Osaki (osakiyusuke@srv.econ.osaka-u.ac.jp)
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Masamitsu Ohnishi: Graduate School of Economics, Osaka University; Daiwa Securities Chair, Graduate School of Economics, Kyoto University
Yusuke Osaki: Graduate School of Economics, Osaka University

No 04-10, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: For single-period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood-ratio-dominance relation between probability prospects of state occurrence and the Arrow-Pratt ordering of risk aversion in expected utility settings. By analyzing the comparative statics for bull market effects on equilibrium asset prices, we derive some monotone properties of the risk-free rate and discounted prices of dividend-monotone assets.

Keywords: Bull and Bear Market Measure; Comparative Statics; Equilibrium Asset Price; Dividend-Monotone Asset; Total Positivity of Order 2 (search for similar items in EconPapers)
JEL-codes: D81 G12 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2004-05
New Economics Papers: this item is included in nep-bec, nep-fin and nep-sea
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Citations: View citations in EconPapers (1)

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