haku: @author Spiegel, M. / yhteensä: 8
viite: 3 / 8
| Tekijä: | Spiegel, M. |
| Otsikko: | Stock price volatility in a muliple security overlapping generations model |
| Lehti: | Review of Financial Studies
1998 : SUMMER, VOL. 11:2, p. 419-447 |
| Asiasana: | FINANCE SHARE PRICES VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | A number of empirical studies have reached the conclusion that stock price volatility cannot be fully explained within the standard dividend discount model. This article proposes a resolution based upon a model that contains both a random supply of risky assets and finitely lived agents who trade in a multiple security environment. As the analysis shows there exist 2k equilibria when K securities trade. The low volatility equilibria have properties analogous to those found in the infinitely loved agent models of Campbell and Kyle and Wang. |
SCIMA