In this paper, it is shown that risk aversion plays a critical role in the determination of the equilibrium stock prices and their variability in a one-asset pure exchange economy. Specifically, it is argued that the variance of equilibrium stock prices is a strictly increasing convex function...

This paper analyzes the joy of giving bequest motive in which the utility obtained from leaving a bequest depends only on the size of the bequest. It exploits the fact that this formulation can be interpreted as a reduced form of an altruistic bequest motive to derive a relation between the...

Particularly since the passage of ERISA, institutional investors have increasingly been willing to consider potential investments that traditionally have been considered highly speculative. Indeed, some institutional investors now routinely use options and futures, instruments that formerly were...

The process of clearing and settling trades involves risks to both investors and the brokerage firms that represent them. Because of the International Organization of Securities Commissions (IOSCO) has appointed a technical committee to explore the problems of clearing and settlement in a global...

A welfare analysis of a simple noisy rational expectations model is carried out. It is shown that the more information prices convey, the worse off everybody can be. However, the equilibrium where everybody is uninformed may not be Pareto optimal: imposing a tax on information gathering which...