Consumption choice and asset pricing with a non-price-taking agent
AbstractThis paper develops a pure-exchange model to study the consumption-portfolio problem of an agent who acts as a non-price-taker, and to analyze the implications of his behavior on equilibrium security prices. The non-price-taker is modeled as a price leader in all markets; his price impact is then recast as a dependence of the Arrow-Debreu prices on his consumption, allowing a tractable formulation. Besides the aggregate consumption, the endowment of the non-price-taker appears as an additional factor in driving equilibrium allocations and prices. Comparisons of equilibria between a price-taking and a non-price-taking economy are carried out.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 10 (1997)
Issue (Month): 3 ()
Note: Received: March 29, 1996; revised version October 29, 1996
Contact details of provider:
Web page: http://link.springer.de/link/service/journals/00199/index.htm
Find related papers by JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- D42 - Microeconomics - - Market Structure and Pricing - - - Monopoly
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
- D90 - Microeconomics - - Intertemporal Choice - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Branko Urosevic, 2001. "Moral hazard and dynamics of insider ownership stakes," Economics Working Papers 787, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004.
- Basak, Suleyman & Pavlova, Anna, 2003.
"Monopoly Power And The Firm'S Valuation: A Dynamic Analysis Of Short Versus Long-Term Policies,"
4234-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Suleyman Basak & Anna Pavlova, 2004. "Monopoly power and the firm’s valuation: a dynamic analysis of short versus long-term policies," Economic Theory, Springer, vol. 24(3), pages 503-530, October.
- Basak, Suleyman & Pavlova, Anna, 2002. "Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies," CEPR Discussion Papers 3425, C.E.P.R. Discussion Papers.
- Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
- Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
- Basak, Suleyman & Pavlova, Anna, 2004. "Monopoly Power and the FirmÂ€Ù³ Valuation:," Working papers 4234-01, Massachusetts Institute of Technology (MIT), Sloan School of Management.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.