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Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing (Classic Reprint) - Softcover
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Excerpt from Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
Incomplete markets in the form of an inability to borrow against risky future income has been proposed as an explanation for the poor predictive power of the standard consumption-based asset pricing model.1 With complete markets, individuals fully insure against idiosyncratic income shocks, and individual consumption is proportional to aggregate consumption.2 With limited insurance markets, however, individual consumption variability may exceed that of the aggregate, and the implied asset prices may differ significantly from those predicted by a representative consumer model. In this paper we study an economy in which agents cannot write contracts contingent on future labor income realizations. They face aggregate uncertainty in the form of dividend and systematic labor income risk, and also idiosyncratic labor income risk. Idiosyncratic income shocks can be buffered by trading in financial securities, but the extent of trade is limited by borrowing constraints, short sales constraints and transactions costs.
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Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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Excerpt from Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
Incomplete markets in the form of an inability to borrow against risky future income has been proposed as an explanation for the poor predictive power of the standard consumption-based asset pricing model.1 With complete markets, individuals fully insure against idiosyncratic income shocks, and individual consumption is proportional to aggregate consumption.2 With limited insurance markets, however, individual consumption variability may exceed that of the aggregate, and the implied asset prices may differ significantly from those predicted by a representative consumer model. In this paper we study an economy in which agents cannot write contracts contingent on future labor income realizations. They face aggregate uncertainty in the form of dividend and systematic labor income risk, and also idiosyncratic labor income risk. Idiosyncratic income shocks can be buffered by trading in financial securities, but the extent of trade is limited by borrowing constraints, short sales constraints and transactions costs.
About the Publisher
Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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- VerlagForgotten Books
- Erscheinungsdatum2018
- ISBN 10 1334448485
- ISBN 13 9781334448485
- EinbandTapa blanda
- SpracheEnglisch
- Anzahl der Seiten68
- Kontakt zum HerstellerNicht verfügbar
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Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing Classic Reprint
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Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing Classic Reprint
Anbieter: PBShop.store UK, Fairford, GLOS, Vereinigtes Königreich
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PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000. Bestandsnummer des Verkäufers LW-9781334448485
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Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing
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Paperback. Zustand: New. Print on Demand. This book investigates an economic theory proposing that the inability to borrow against unpredictable future income may substantially affect an individual's risk-sharing and asset pricing behavior, particularly in relation to stock and bond investments. The author presents a thorough analysis of an economy in which individuals cannot write contracts contingent on future income realizations, demonstrating the impact of incomplete markets on the relationship between idiosyncratic and aggregate risks. Drawing upon historical data, the author constructs empirical models of individual income and dividends to calibrate the theoretical model, leading to valuable insights. The combination of theoretical and empirical approaches provides a comprehensive examination of the significance of incomplete markets in shaping investment decisions and the resulting fluctuations in asset prices. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Bestandsnummer des Verkäufers 9781334448485_0
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