Risky Arbitage, Asset Prices, and Externalities

Cuong Le van, Frank Page and Myrna Wooders

No 524, Vanderbilt University Department of Economics Working Papers from Vanderbilt University Department of Economics

Abstract: We introduce a no-risky-arbitrage price (NRAP) condition for asset market models allowing both unbounded short sales and externalities such as trading volume. We then demonstrate that the NRAP condition is sufficient for the existence of competitive equilibrium in the presence of externalities. Moreover, we show that if all risky arbitrages are utility increasing, then the NRAP condition characterizes competitive equilibrium in the presence of externalities.

Keywords: Risky arbitrage; competitive equilibria; viable asset prices (search for similar items in EconPapers)
JEL-codes: C62 D50 (search for similar items in EconPapers)
Date: 2005-09
New Economics Papers: this item is included in nep-fmk, nep-mic and nep-upt
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http://www.accessecon.com/pubs/VUECON/vu05-w24.pdf First version, 2005 (application/pdf)

Related works:
Journal Article: Risky arbitrage, asset prices, and externalities (2007)
Working Paper: Risky Arbitrage, Asset Prices, and Externalities (2007)
Working Paper: Risky Arbitrage, Asset Prices, and Externalities (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:van:wpaper:0524

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