EconPapers    
Economics at your fingertips  
 

Animal Spirits, Margin Requirements, and Stock Price Volatility

Paul Kupiec () and Steven Sharpe ()

Journal of Finance, 1991, vol. 46, issue 2, 717-31

Abstract: A simple overlapping generations model is used to characterize the effects of initial margin requirements in the volatility of risky asset prices. Investors are assumed to exhibit heterogenous preferences for risk-bearing, the distribution of which evolves stochastically across generations. This framework is used to show that imposing a binding initial marginal requirement may either increase or decrease stock price volatility, depending upon the microeconomic structure behind fluctuations in economywide average risk-bearing propensity. The ambiguous effect on volatility similarly arises when the source of heterogeneity is noise trader beliefs. Copyright 1991 by American Finance Association.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819910 ... O%3B2-D&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: Animal spirits, margin requirements, and stock price volatility (1990)
Working Paper: Animal spirits, margin requirements, and stock price volatility (1989)
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:bla:jfinan:v:46:y:1991:i:2:p:717-31

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-05-01
Handle: RePEc:bla:jfinan:v:46:y:1991:i:2:p:717-31