Instability of Financial Markets and Preference Heterogeneity

No Thumbnail Available
Files
There are no files associated with this item.
Date
2010
Authors
Lüders, Erik
Editors
Contact
Journal ISSN
Electronic ISSN
ISBN
Bibliographical data
Publisher
Series
URI (citable link)
DOI (citable link)
ArXiv-ID
International patent number
Link to the license
EU project number
Project
Open Access publication
Restricted until
Title in another language
Research Projects
Organizational Units
Journal Issue
Publication type
Journal article
Publication status
Published in
Advances in Decision Sciences ; 2010 (2010). - pp. 1-27. - ISSN 2090-3359
Abstract
This paper presents a simple rational expectations model of intertemporal asset pricing relating instability of stock return characteristics to heterogeneity in investor preferences. Heterogeneity is likely to generate declining aggregate relative risk aversion. This leads to variability in expected asset returns, volatility, and autocorrelation. The stronger this variability is, the more heterogeneous preferences are, implying more instability of financial markets. Stock market crashes may be observed if relative risk aversion differs strongly across investors.
Summary in another language
Subject (DDC)
330 Economics
Keywords
Financial instability,aggregate relative risk aversion,equilibrium asset price processes,variability in expected stock returns and volatility,stock market crashes
Conference
Review
undefined / . - undefined, undefined. - (undefined; undefined)
Cite This
ISO 690FRANKE, Günter, Erik LÜDERS, 2010. Instability of Financial Markets and Preference Heterogeneity. In: Advances in Decision Sciences. 2010, pp. 1-27. ISSN 2090-3359. Available under: doi: 10.1155/2010/791025
BibTex
@article{Franke2010Insta-14969,
  year={2010},
  doi={10.1155/2010/791025},
  title={Instability of Financial Markets and Preference Heterogeneity},
  volume={2010},
  issn={2090-3359},
  journal={Advances in Decision Sciences},
  pages={1--27},
  author={Franke, Günter and Lüders, Erik}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/14969">
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-11-18T09:10:52Z</dc:date>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:issued>2010</dcterms:issued>
    <dc:creator>Franke, Günter</dc:creator>
    <dc:contributor>Lüders, Erik</dc:contributor>
    <dcterms:title>Instability of Financial Markets and Preference Heterogeneity</dcterms:title>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-11-18T09:10:52Z</dcterms:available>
    <dc:contributor>Franke, Günter</dc:contributor>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dcterms:bibliographicCitation>Publ. in: Advances in Decision Sciences ; (2010). - Article ID 791025</dcterms:bibliographicCitation>
    <dcterms:abstract xml:lang="eng">This paper presents a simple rational expectations model of intertemporal asset pricing relating instability of stock return characteristics to heterogeneity in investor preferences. Heterogeneity is likely to generate declining aggregate relative risk aversion. This leads to variability in expected asset returns, volatility, and autocorrelation. The stronger this variability is, the more heterogeneous preferences are, implying more instability of financial markets. Stock market crashes may be observed if relative risk aversion differs strongly across investors.</dcterms:abstract>
    <dc:creator>Lüders, Erik</dc:creator>
    <dc:rights>terms-of-use</dc:rights>
    <dc:language>eng</dc:language>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/14969"/>
  </rdf:Description>
</rdf:RDF>
Internal note
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Contact
URL of original publication
Test date of URL
Examination date of dissertation
Method of financing
Comment on publication
Alliance license
Corresponding Authors der Uni Konstanz vorhanden
International Co-Authors
Bibliography of Konstanz
Yes
Refereed