On the Market Selection Hypothesis in a Mean Reverting Environment

Emilio Barucci () and Marco Casna

Computational Economics, 2014, vol. 44, issue 1, 126 pages

Abstract: We investigate the market selection hypothesis in a mean reverting environment. We consider three models varying the endowment process and agents’ beliefs and we show that with a constant relative risk aversion utility, controlling for the discount factor, agents with incorrect beliefs about the level of the endowment process cannot survive. Copyright Springer Science+Business Media New York 2014

Keywords: Market selection; Heterogeneous opinions; Mean reversion; Growth; D53; D84; G11; G14 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10614-013-9400-0

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