Results 21 to 30 of about 4,043,177 (393)
Heterogeneity in Decentralized Asset Markets [PDF]
SSRN Electronic Journal, 2014 We study a canonical model of decentralized exchange for a durable good or asset, where agents are assumed to have time‐varying, heterogeneous utility types. Whereas the existing literature has focused on the special case of two types, we allow agents' utility to be drawn from an arbitrary distribution.
Julien Hugonnier +2 more
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Interpretable asset markets? [PDF]
European Economic Review, 2005 Abstract In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises—that is, financial markets dislike economic uncertainty.
Bansal, Ravi +2 more
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Asset Pricing in Markets with Illiquid Assets [PDF]
SSRN Electronic Journal, 2005 Many important classes of assets are illiquid in the sense that they cannot always be traded immediately. Thus, a portfolio position in these types of illiquid investments becomes at least temporarily irreversible. We study the asset-pricing implications of illiquidity in a two-asset exchange economy with heterogeneous agents. In this market, one asset
Francis A. Longstaff +1 more
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Coordination in the Presence of Asset Markets [PDF]
SSRN Electronic Journal, 2008 We explore the relationship between outcomes in a coordination game and a pre-play asset market where asset values are determined by outcomes in the subsequent coordination game. Across two experiments, we vary the payoffs from the market relative to the game, the degree of interdependence in the game, and whether traders' asset payoffs are dependent ...
Shimon Kogan +4 more
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Intermediation in Markets for Goods and Markets for Assets [PDF]
SSRN Electronic Journal, 2019 We analyze agents' decisions to act as producers or intermediaries using equilibrium search theory. Extending previous analyses in various ways, we ask when intermediation emerges and study its efficiency. In one version of the framework, meant to resemble retail, middlemen hold goods, which entails (storage) costs; that model always displays ...
Ed Nosal +3 more
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Efficiently Inefficient Markets for Assets and Asset Management [PDF]
SSRN Electronic Journal, 2015 ABSTRACTWe consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily, more money is allocated to active management ...
Lasse Heje Pedersen +3 more
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Liquidity and Asset Market Dynamics [PDF]
SSRN Electronic Journal, 2010 We study economies with an essential role for liquid assets in transactions. The model can generate multiple stationary equilibria, across which asset prices, market participation, capitalization, output and welfare are positively related. It can also generate a variety of nonstationary equilibria, even when fundamentals are deterministic and time ...
Randall Wright +3 more
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Asset Markets and Investment Decisions* [PDF]
International Economic Review, 2002 In an incomplete asset market, firms assign values to investment plans by projecting their payoffs on the span of the payoffs of marketed assets. This is a criterion that does not require firms to possess information, such as the marginal valuation of revenue across date‐events by shareholders, which is not directly observable; rather, it is based on ...
A. De Waegenaere +2 more
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GIMS-Software for asset market experiments. [PDF]
J Behav Exp Finance, 2015 In this article we lay out requirements for an experimental market software for financial and economic research. We then discuss existing solutions. Finally, we introduce GIMS, an open source market software which is characterized by extensibility and ease of use, while offering nearly all of the required functionality.
Palan S.
europepmc +4 more sources
Asset–asset interactions and clustering in financial markets [PDF]
Physica A: Statistical Mechanics and its Applications, 2001 The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental changes due to a `heat bath' acting on the many-asset system, quantitatively described in terms of a time ...
H. Eduardo Roman +3 more
openaire +4 more sources