The Ambiguity Premium vs. the Risk Premium under Limited Market Participation
スポンサーリンク
概要
- 論文の詳細を見る
This paper considers a stock market with ambiguity-averse informed investors under the CARA-normal setting, and studies the relationship between limited market participation and the equity premium which is decomposed into the risk premium and the ambiguity premium. In a rational expectations equilibrium, limited market participation arises if the largest deviation of investors’ ambiguity increases sufficiently or if the variance of the stock return decreases sufficiently. In each case, a change in the risk premium and a change in the ambiguity premium may have opposite signs. This paper identifies conditions under which a change with the plus sign dominates and thus the equity premium increases when fewer investors participate in the stock market.
論文 | ランダム
- 意匠設計・構造設計 (特集 免震建築の基本と実践) -- (免震建築の計画・設計・施工)
- 免震構造の設計クライテリアとフロ- (制震・免震構造マルチガイド) -- (免震構造の設計)
- 免震構造の設計クライテリアとフロ- (特集 制震・免震構造の設計) -- (免震構造の設計)
- 沖縄の舞踊と楽器(沖縄の文化と美術特集)
- 快的混沌状態の耳きき--"化けもの"楽器の登場