Advanced Search
MyIDEAS: Login

Evolution of Wealth and Asset Prices in Markets with Case-Based Investors

Contents:

Author Info

  • Guerdjikova, Ani

    ()
    (Cornell University)

Registered author(s):

    Abstract

    I analyze whether case-based decision makers (CBDM) can survive in an assetmarket in the presence of expected utilitymaximizers. Conditions are identified, under which the CBDM retain a positive mass with probability one. CBDM can cause predictability of asset returns, high volatility and bubbles. It is found that the expected utility maximizers can disappear from the market for a finite period of time, if the mispricing of the risky asset caused by the case-based decision-makers aggravates too much. Only in the case of logarithmic expected utility maximizers do the case-based decision makers disappear from the market for all parameter values.

    Download Info

    If 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.
    File URL: http://www.sfb504.uni-mannheim.de/publications/dp04-49.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Sonderforschungsbereich 504, Universit├Ąt Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number 04-49.

    as in new window
    Length: 35 pages
    Date of creation: 24 Nov 2004
    Date of revision:
    Handle: RePEc:xrs:sfbmaa:04-49

    Note: I am indebted to my advisor Juergen Eichberger for his helpful guidance. I would like to thank Hans Haller,
    Contact details of provider:
    Postal: D-68131 Mannheim
    Phone: (49) (0) 621-292-2547
    Fax: (49) (0) 621-292-5594
    Email:
    Web page: http://www.sfb504.uni-mannheim.de/
    More information through EDIRC

    Web page: http://www.sfb504.uni-mannheim.de

    Order Information:
    Email:

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:xrs:sfbmaa:04-49. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carsten Schmidt).

    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.