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The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure

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  • 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)

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    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.

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    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0410.pdf
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    Bibliographic 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.

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    Length: 13 pages
    Date of creation: May 2004
    Date of revision:
    Handle: RePEc:osk:wpaper:0410

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    Web page: http://www.econ.osaka-u.ac.jp/
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    Related research

    Keywords: Bull and Bear Market Measure; Comparative Statics; Equilibrium Asset Price; Dividend-Monotone Asset; Total Positivity of Order 2;

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