𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Efficiency, Equilibrium, and Asset Pricing with Risk of Default

✍ Scribed by Fernando Alvarez; Urban J. Jermann

Book ID
108555977
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
168 KB
Volume
68
Category
Article
ISSN
0012-9682

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πŸ“œ SIMILAR VOLUMES

A model of dynamic equilibrium asset pri
A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
✍ Suleyman Basak πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 244 KB

We study equilibrium security price dynamics in an economy where nonfundamental risk arises from agents' heterogeneous beliefs about extraneous processes. We completely characterize equilibrium in terms of the economic primitives, via a representative agent with stochastic weights. Besides pricing f