Masamitsu Ohnishi () (Graduate School of Economics, Osaka University; Daiwa Securities Chair, Graduate School of Economics, Kyoto University) Yusuke Osaki () (Graduate School of Economics, Osaka University)
Abstract
For single-period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood-ratio-dominance relation between probability prospects of state occurrence and the Arrow-Pratt ordering of risk aversion in expected utility settings. By analyzing the comparative statics for bull market effects on equilibrium asset prices, we derive some monotone properties of the risk-free rate and discounted prices of dividend-monotone assets.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) in its series Discussion Papers in Economics and Business with number
04-10.