Market Selection

Stephen Ross, Mark Westerfield (), Jiang Wang and Leonid Kogan
Additional contact information
Jiang Wang: MIT

No 274, 2009 Meeting Papers from Society for Economic Dynamics

Abstract: agents do not survive and do not affect prices in the long run. If relative risk aversion is unbounded, however, they may survive, and survival is neither necessary nor sufficient for their impact on prices. We provide necessary and sufficient conditions for price impact, as well as examples of price impact without survival and vice versa. Our results extend to economies with state-dependent utility functions such as habit formation.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2009/paper_274.pdf (application/pdf)

Related works:
Journal Article: Market selection (2017)
Working Paper: Market Selection (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed009:274

Access Statistics for this paper

More papers in 2009 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().