haku: @indexterm Economic shocks / yhteensä: 36
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Tekijä: | Kraus, A. Sagi, J.S. |
Otsikko: | Asset pricing with unforseen contingencies |
Lehti: | Journal of Financial Economics
2006 : NOV, VOL. 82:2, p. 417-453 |
Asiasana: | asset valuation economic shocks pricing |
Kieli: | eng |
Tiivistelmä: | This study investigates an economy of heterogeneous agents that cannot specify all exogenous welfare-relevant events and consequently view the impact of unforseen contingencies as utility shocks. In this setting and appropriate market equilibrium concept when securities can trade only on demand is characterized. The study establishes the existence of an equilibrium for a class of parametric models in which aggregating taste shocks across agents can lead to nonconsumption pricing factors. |
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