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Sorting in risk-aversion and asset price volatility [An article from: Journal of Mathematical Economics]
Book Details
Author(s)
H. Herrera
Publisher
Elsevier
ISBN / ASIN
B000RR7Q9Y
ISBN-13
978B000RR7Q94
Availability
Available for download now
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United States 🇺🇸
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Description
This digital document is a journal article from Journal of Mathematical Economics, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
I analyze how an exogenous cost of entry in a risky asset market affects two endogenous variables: the degree of market participation and price volatility. I show that different entry costs generate different participation equilibria and that a multiplicity of equilibria may arise, but that the new market entrants are always more risk-averse than the rest of the participants. Every participation equilibrium is associated with a volatility of the asset price. Increased market participation leads to increased asset price volatility and higher welfare.
Description:
I analyze how an exogenous cost of entry in a risky asset market affects two endogenous variables: the degree of market participation and price volatility. I show that different entry costs generate different participation equilibria and that a multiplicity of equilibria may arise, but that the new market entrants are always more risk-averse than the rest of the participants. Every participation equilibrium is associated with a volatility of the asset price. Increased market participation leads to increased asset price volatility and higher welfare.
