On the Market Selection Hypothesis in a Mean Reverting Environment

We investigate the market selection hypothesis in a mean reverting environment. We consider three models varying the endowment process and agents’ beliefs and we show that with a constant relative risk aversion utility, controlling for the discount factor, agents with incorrect beliefs about the level of the endowment process cannot survive. Copyright Springer Science+Business Media New York 2014

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Year of publication:	2014
Authors:	Barucci, Emilio ; Casna, Marco
Published in:	Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 44.2014, 1, p. 101-126
Publisher:	Society for Computational Economics - SCE
Subject:	Market selection \| Heterogeneous opinions \| Mean reversion \| Growth

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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