ECONOMICS OF STOCK‐PRICE VIBRATIONS: RIDING SPECULATIVE WAVES WITHOUT SPECULATION

Hiroshi Ohta (), Hironobu Nakagawa and Yong Wang ()

Pacific Economic Review, 2007, vol. 12, issue 5, 529-543

Abstract: Abstract. When speculation causes share prices to fluctuate, even the best speculators may do ‘hardly better than the comprehensive common‐stock averages’ (Samuelson). We further demonstrate in this paper that non‐speculators can indeed benefit, in terms of both utility and wealth, from speculative price fluctuations by choosing their portfolio optimally. In particular, we show both how much and how fast non‐speculators’ wealth can accumulate, presumably at speculators’ expenses, over periods of price fluctuations. We also show a seemingly paradoxical outcome where a rational individual would rejoice more when stock prices fall than when they rise by the same (absolute) amounts.

Date: 2007
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1468-0106.2007.00369.x

Related works:
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:pacecr:v:12:y:2007:i:5:p:529-543

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1361-374X

Access Statistics for this article

Pacific Economic Review is currently edited by Kenneth S. Chan and Yin-wong Cheung

More articles in Pacific Economic Review from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().