haku: @indexterm trading volumes / yhteensä: 43
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| Tekijä: | Berrada, T. Hugonnier, J. Rindisbacher, M. |
| Otsikko: | Heterogeneous preferences and equilibrium trading volume |
| Lehti: | Journal of Financial Economics
2007 : MAR, VOL. 83:3, p. 719-750 |
| Asiasana: | trading volumes financial market trading equilibrium analysis international capital market |
| Vapaa asiasana: | Lucas model No-trade equilibrium |
| Kieli: | eng |
| Tiivistelmä: | The representative-agent Lucas model focuses on equilibrium prices and returns assuming that agents are identical. This paper investigates under what conditions non-informational heterogeneity, i.e. differences in preferences and endorsements, among agents leads to positive trading volume in equilibrium. The paper provides necessary and sufficient conditions for the existence of an efficient no-trade equilibrium in a continuous-time Lucas market model with heterogeneous agents, multiple goods and multiple securities. The study also addresses the relations with autarky equilibria, portfolio autarky equilibria and peculiar financial market equilibria. |
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