An equilibrium model with restricted stock market participation

被引：200

作者：

Basak, S ^{[1
]}

Cuoco, D ^{[1
]}

机构：

[1] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA

来源：

REVIEW OF FINANCIAL STUDIES | 1998年 / 11卷 / 02期

关键词：

D O I：

10.1093/rfs/11.2.309

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article solves the equilibrium problem in a pure-exchange, continuous-time economy in which some agents face information costs or other types of frictions effectively preventing them front investing in the stock, market Under the assumption that the restricted agents have logarithmic utilities, a complete characterization of equilibrium prices and consumption/investment policies is provided. A simple calibration shows that the model can help resolve some of the empirical asset pricing puzzles.

引用

页码：309 / 341

页数：33

共 37 条

[11] HABIT FORMATION - A RESOLUTION OF THE EQUITY PREMIUM PUZZLE [J].

CONSTANTINIDES, GM .

JOURNAL OF POLITICAL ECONOMY, 1990, 98 (03) :519-543

[12] AN INTERTEMPORAL GENERAL EQUILIBRIUM-MODEL OF ASSET PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

ECONOMETRICA, 1985, 53 (02) :363-384

[13] THE ROLE OF LIQUIDITY IN FUTURES MARKET INNOVATIONS [J].

CUNY, CJ .

REVIEW OF FINANCIAL STUDIES, 1993, 6 (01) :57-78

[14]

Cuoco C., 1994, DYNAMIC EQUILIBRIUM

[15]

CUOCO D, 1994, DYNAMIC AGGREGATION

[16] INTERNATIONAL ASSET PRICING UNDER MILD SEGMENTATION - THEORY AND TEST [J].

ERRUNZA, V ;

LOSQ, E .

JOURNAL OF FINANCE, 1985, 40 (01) :105-124

[17]

ERRUNZA V, 1989, J FINANC, V44, P897

[18]

Eun C., 1986, J FINANC, V41, P1025

[19] CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT-SALE CONSTRAINTS - THE INFINITE DIMENSIONAL CASE [J].

HE, H ;

PEARSON, ND .

JOURNAL OF ECONOMIC THEORY, 1991, 54 (02) :259-304

[20] Evaluating the effects of incomplete markets on risk sharing and asset pricing [J].

Heaton, J ;

Lucas, DJ .

JOURNAL OF POLITICAL ECONOMY, 1996, 104 (03) :443-487

← 1 2 3 4 →