La valutazione delle attività finanziarie in mercati imperfetti: una nota su premio al rischio e potere di mercato - The Valuation of Assets in Imperfect Markets: A Note on Risk Premium and Market Power
This paper presents a simple asset valutation model in imperfect markets under condition of borroers' bankrupcy risk and investors' endogenous preferences. A generalized for of "risk premium" is obtained as a function of both usual parameters and market power. Direct evidence in favour of Hicks's hypothesis of a negative relationship between market power and risk preference is provided by an application to the loan market.
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Volume (Year): 44 (1991)
Issue (Month): 1 ()
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