Instability of Financial Markets and Preference Heterogeneity
| dc.contributor.author | Franke, Günter | |
| dc.contributor.author | Lüders, Erik | deu |
| dc.date.accessioned | 2011-11-18T09:10:52Z | deu |
| dc.date.available | 2011-11-18T09:10:52Z | deu |
| dc.date.issued | 2010 | |
| dc.description.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. | eng |
| dc.description.version | published | |
| dc.identifier.citation | Publ. in: Advances in Decision Sciences ; (2010). - Article ID 791025 | deu |
| dc.identifier.doi | 10.1155/2010/791025 | deu |
| dc.identifier.uri | http://kops.uni-konstanz.de/handle/123456789/14969 | |
| dc.language.iso | eng | deu |
| dc.legacy.dateIssued | 2011-11-18 | deu |
| dc.rights | terms-of-use | deu |
| dc.rights.uri | https://rightsstatements.org/page/InC/1.0/ | deu |
| dc.subject | Financial instability | deu |
| dc.subject | aggregate relative risk aversion | deu |
| dc.subject | equilibrium asset price processes | deu |
| dc.subject | variability in expected stock returns and volatility | deu |
| dc.subject | stock market crashes | deu |
| dc.subject.ddc | 330 | deu |
| dc.title | Instability of Financial Markets and Preference Heterogeneity | eng |
| dc.type | JOURNAL_ARTICLE | deu |
| dspace.entity.type | Publication | |
| kops.citation.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}
} | |
| kops.citation.iso690 | FRANKE, 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 | deu |
| kops.citation.iso690 | FRANKE, 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 | eng |
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| kops.identifier.nbn | urn:nbn:de:bsz:352-149697 | deu |
| kops.sourcefield | Advances in Decision Sciences. 2010, <b>2010</b>, pp. 1-27. ISSN 2090-3359. Available under: doi: 10.1155/2010/791025 | deu |
| kops.sourcefield.plain | Advances in Decision Sciences. 2010, 2010, pp. 1-27. ISSN 2090-3359. Available under: doi: 10.1155/2010/791025 | deu |
| kops.sourcefield.plain | Advances in Decision Sciences. 2010, 2010, pp. 1-27. ISSN 2090-3359. Available under: doi: 10.1155/2010/791025 | eng |
| kops.submitter.email | guenter.franke@uni-konstanz.de | deu |
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| source.periodicalTitle | Advances in Decision Sciences |
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