Showing 1 - 10 of 127
In this article, we examine the effect of the imperfect mobility of goods on international risk sharing and, through that, on the investment in risky projects, welfare and growth. We find that the welfare gain of financial market openness is not monotonic with respect to investors' risk aversion...
Persistent link: https://www.econbiz.de/10005777342
Our objective is to identify the trading strategy that would allow an investor to take advantage of "excessive" stock price volatility and "sentiment" fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively...
Persistent link: https://www.econbiz.de/10005830778
Our objective is to understand the trading strategy that would allow an investor to take advantage of "excessive" stock price volatility and "sentiment" fluctuations. We construct a general equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively...
Persistent link: https://www.econbiz.de/10005710368
In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive utility functions. Our main result is to show that in a multiagent economy, the problem of determining efficient allocations can be characterized in terms of a single value...
Persistent link: https://www.econbiz.de/10005725245
Persistent link: https://www.econbiz.de/10005153322
Persistent link: https://www.econbiz.de/10003294322
Persistent link: https://www.econbiz.de/10003549572
Persistent link: https://www.econbiz.de/10011716773
Persistent link: https://www.econbiz.de/10011709400
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to...
Persistent link: https://www.econbiz.de/10005504252