Now Australia's Biggest Toy Shop

We won't be beaten by anyone. Guaranteed

The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices
By

Rating
Excerpt from The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices Many features of asset prices and investment behavior have proven hard to explain using simple parametric versions of representative agent models estimated with aggregate consumption data. One of the most often cited difficulties is in reconciling the large spread between the mean return on stocks and bonds-the equity premium puzzle of Mehra and Prescott Not only is the predicted equity premium too low (assuming moderate levels of risk aversion), but the predicted risk-free rate is too high (for plausible rates of time preference). This latter puzzle is known as the risk-free rate puzzle [well Closely related is the fact that observed holdings of risk-free assets greatly exceed predicted holdings in models in which asset returns are taken as given and quantities are chosen to clear markets. The representative agent model also appears unable to explain the term structure of interest rates (backus, Gregory, and Zin or to match the second moments and correlation structure of asset returns. These pricing puzzles are to a large extent due to the fact that aggregate consumption is not very risky, which implies that a moderately risk-averse representative agent demands only a small premium to hold stocks over risk-free bonds, and has a low precautionary demand for savings. Representative agent models also are not designed to explain asset market phenomena such as the high concentration of stock ownership and the large volume of trade. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Product Details
Look for similar items by category
Home » Books » History » General
Home » Books » Business » Economics » General
How Fishpond Works
Fishpond works with suppliers all over the world to bring you a huge selection of products, really great prices, and delivery included on over 25 million products that we sell. We do our best every day to make Fishpond an awesome place for customers to shop and get what they want — all at the best prices online.
Webmasters, Bloggers & Website Owners
You can earn a 5% commission by selling The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices (Classic Reprint) on your website. It's easy to get started - we will give you example code. After you're set-up, your website can earn you money while you work, play or even sleep! You should start right now!
Authors / Publishers
Are you the Author or Publisher of a book? Or the manufacturer of one of the millions of products that we sell. You can improve sales and grow your revenue by submitting additional information on this title. The better the information we have about a product, the more we will sell!
Item ships from and is sold by Fishpond.com, Inc.
Back to top