The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure
AbstractFor 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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Bibliographic InfoPaper 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.
Length: 13 pages
Date of creation: May 2004
Date of revision:
Bull and Bear Market Measure; Comparative Statics; Equilibrium Asset Price; Dividend-Monotone Asset; Total Positivity of Order 2;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-19 (All new papers)
- NEP-BEC-2005-06-19 (Business Economics)
- NEP-FIN-2005-06-19 (Finance)
- NEP-SEA-2005-06-19 (South East Asia)
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