A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk.

We study the dynamic equilibrium behavior of security prices in an economy where nonfundamental risk arises from agents' heterogeneous beliefs about extraneous processes. We provide a complete characteriszation of equilibrium in terms of the primitives of the economy, via construction of a representative agent with stochastic weights.

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Year of publication:	1997
Authors:	Basak, S
Institutions:	Rodney L. White Center for Financial Research, Wharton School of Business
Subject:	FINANCIAL MARKET \| PRICING \| ECONOMIC EQUILIBRIUM \| RISK

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Series:	Rodney L. White Center for Financial Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	C60 - Mathematical Methods and Programming. General ; D51 - Exchange and Production Economies ; D90 - Intertemporal Choice and Growth. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245353