| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15189 |
| 来源ID | Working Paper 15189 |
| Market Selection | |
| Leonid Kogan; Stephen Ross; Jiang Wang; Mark M. Westerfield | |
| 发表日期 | 2009-07-30 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | The hypothesis that financial markets punish traders who make relatively inaccurate forecasts and eventually eliminate the effect of their beliefs on prices is of fundamental importance to the standard modeling paradigm in asset pricing. We establish necessary and sufficient conditions for agents making inferior forecasts to survive and to affect prices in the long run in a general setting with minimal restrictions on endowments, beliefs, or utility functions. We show that the market selection hypothesis is valid for economies with bounded endowments or bounded relative risk aversion, but it cannot be substantially generalized to a broader class of models. Instead, survival is determined by a comparison of the forecast errors to risk attitudes. The price impact of inaccurate forecasts is distinct from survival because price impact is determined by the volatility of traders' consumption shares rather than by their level. Our results also apply to economies with state-dependent preferences, such as habit formation. |
| 主题 | Microeconomics ; General Equilibrium ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15189 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572865 |
| 推荐引用方式 GB/T 7714 | Leonid Kogan,Stephen Ross,Jiang Wang,et al. Market Selection. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15189.pdf（381KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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