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Instability of Financial Markets and Preference Heterogeneity

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2010

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Lüders, Erik

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http://nbn-resolving.de/urn:nbn:de:bsz:352-149697
DOI (zitierfähiger Link)
https://doi.org/10.1155/2010/791025
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Advances in Decision Sciences. 2010, 2010, pp. 1-27. ISSN 2090-3359. Available under: doi: 10.1155/2010/791025

Zusammenfassung

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.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Financial instability, aggregate relative risk aversion, equilibrium asset price processes, variability in expected stock returns and volatility, stock market crashes

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ISO 690FRANKE, Günter, Erik LÜDERS, 2010. Instability of Financial Markets and Preference Heterogeneity. In: Advances in Decision Sciences. 2010, 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}
}
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