Heterogeneous Beliefs, Wealth Accumulation and Asset Price Dynamics

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dc.contributor.author Cabrales, Antonio
dc.contributor.author Hoshi, Takeo
dc.date.accessioned 2009-02-17T10:03:37Z
dc.date.available 2009-02-17T10:03:37Z
dc.date.issued 1996
dc.identifier.bibliographicCitation Journal of Economic Dynamics and Control. 1996, vol. 20, nº. 6-7, p. 1073-1100
dc.identifier.issn 0165-1889
dc.identifier.uri http://hdl.handle.net/10016/3678
dc.description.abstract This paper develops and analyzes a models of asset markets with two types of investors. We study the stochastic processes for the distribution of wealth between the two types of investors and for the equilibrium asset returns. The relationship between this model and some econometric models with time varying parameter, such as the ARCH(Autoregressive Conditional Heteroskedasticity) model, as well as the relationship between the volume of trade and volatility, are examined. The dynamic properties of another model, regarding investors who use strategies that are a bit more complex, are also analyzed.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Asset pricing
dc.subject.other Dynamics
dc.subject.other Heterogeneity
dc.subject.other ARACH
dc.subject.other Trade volume
dc.title Heterogeneous Beliefs, Wealth Accumulation and Asset Price Dynamics
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/0165-1889(95)00890-X
dc.subject.jel G10
dc.subject.jel G12
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/0165-1889(95)00890-X
dc.rights.accessRights openAccess
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