| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9283 |
| DP9283 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World | |
| Roger Farmer; Carine Nourry; Alain Venditti | |
| 发表日期 | 2013-01-13 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Existing literature continues to be unable to offer a convincing explanation for the volatility of the stochastic discount factor in real world data. Our work provides such an explanation. We do not rely on frictions, market incompleteness or transactions costs of any kind. Instead, we modify a simple stochastic representative agent model by allowing for birth and death and by allowing for heterogeneity in agents' discount factors. We show that these two minor and realistic changes to the timeless Arrow-Debreu paradigm are sufficient to invalidate the implication that competitive financial markets efficiently allocate risk. Our work demonstrates that financial markets, by their very nature, cannot be Pareto efficient, except by chance. Although individuals in our model are rational; markets are not. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Asset pricing Efficient markets Excess volatility |
| URL | https://cepr.org/publications/dp9283 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538119 |
| 推荐引用方式 GB/T 7714 | Roger Farmer,Carine Nourry,Alain Venditti. DP9283 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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