| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18647 |
| 来源ID | Working Paper 18647 |
| The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World | |
| Roger E.A. Farmer; Carine Nourry; Alain Venditti | |
| 发表日期 | 2012-12-21 |
| 出版年 | 2012 |
| 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 in completeness 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 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w18647 |
| 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/576322 |
| 推荐引用方式 GB/T 7714 | Roger E.A. Farmer,Carine Nourry,Alain Venditti. The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World. 2012. |
| 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 | ||
| w18647.pdf（760KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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