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Social Sciences x General Equilibrium and Disequilibrium x Financial Markets x clear all

Ambiguity and Rational Expectations Equilibria

Scott Condie and Jayant V. Ganguli.

in The Review of Economic Studies

July 2011; p ublished online February 2011 .

Journal Article. Subjects: Information, Knowledge, and Uncertainy; Financial Markets; Economics; General Equilibrium and Disequilibrium. 11327 words.

This paper demonstrates the existence and robustness of partially revealing rational expectations equilibria in general exchange economies when some traders have non-smooth ambiguity-averse...

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Asset Prices with Heterogeneity in Preferences and Beliefs

Harjoat S. Bhamra and Raman Uppal.

in The Review of Financial Studies

February 2014; p ublished online August 2013 .

Journal Article. Subjects: Economics; General Equilibrium and Disequilibrium; Financial Markets; Intertemporal Choice and Growth. 28001 words.

In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium endowment economy in which agents have “catching up with the Joneses” utility functions and...

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Corporate Fraction and the Equilibrium Term Structure of Equity Risk

Roberto Marfè.

in Review of Finance

March 2016; p ublished online May 2015 .

Journal Article. Subjects: Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling; General Equilibrium and Disequilibrium; Financial Markets; Economics. 17377 words.

The recent empirical evidence of a downward-sloping term structure of equity risk is viewed as a challenge to many leading asset pricing models. This article analytically characterizes...

Flow Toxicity and Liquidity in a High-frequency World

David Easley, Marcos M. López de Prado and Maureen O'Hara.

in The Review of Financial Studies

May 2012; p ublished online March 2012 .

Journal Article. Subjects: Econometrics and Mathematical Economics; General Equilibrium and Disequilibrium; Financial Markets; Economics. 14494 words.

Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume...

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Relative Wealth Concerns and Financial Bubbles

Peter M. DeMarzo, Ron Kaniel and Ilan Kremer.

in The Review of Financial Studies

January 2008; p ublished online January 2008 .

Journal Article. Subjects: Economics; General Equilibrium and Disequilibrium; Financial Markets; Intertemporal Choice and Growth; Money and Interest Rates. 13152 words.

We present a rational general equilibrium model that highlights the fact that relative wealth concerns can play a role in explaining financial bubbles. We consider a finite-horizon...

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