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Market Selection

Stephen Ross, Mark Westerfield (), Jiang Wang and Leonid Kogan ()
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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
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Journal Article: Market selection (2017) Downloads
Working Paper: Market Selection (2009) Downloads
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