A model of dynamic equilibrium asset pri
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Suleyman Basak
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Article
📅
2000
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Elsevier Science
🌐
English
⚖ 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