Strategic risk aversion
This article demonstrates that exaggerated risk aversion may comprise a rational form of strategic behaviour in the face of asymmetric information. Unlike some other forms of strategic behaviour analysed previously, this behaviour confers a benefit in the form of higher ex post consumption (not merely higher expected consumption or expected utility) and whether or not markets are perfectly competitive.
Volume (Year): 21 (2011)
Issue (Month): 13 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- R. Mehra & E. Prescott, 2010.
"The equity premium: a puzzle,"
Levine's Working Paper Archive
1401, David K. Levine.
- Martin Shubik, 1974.
"Competitive Equilibrium Contingent Commodities and Information,"
Cowles Foundation Discussion Papers
379, Cowles Foundation for Research in Economics, Yale University.
- Shubik, Martin, 1977. "Competitive Equilibrium Contingent Commodities and Information," Journal of Finance, American Finance Association, vol. 32(1), pages 189-93, March.
- B. Douglas Bernheim & Michael D. Whinston, 1986. "Menu Auctions, Resource Allocation, and Economic Influence," The Quarterly Journal of Economics, Oxford University Press, vol. 101(1), pages 1-31.
- Nash, John, 1950. "The Bargaining Problem," Econometrica, Econometric Society, vol. 18(2), pages 155-162, April.
- Gadi Barlevy & Pietro Veronesi, 2000.
"Information Acquisition in Financial Markets,"
Review of Economic Studies,
Oxford University Press, vol. 67(1), pages 79-90.
- Gadi Barlevy & Pietro Veronesi, . "Information Acquisition in Financial Markets," CRSP working papers 360, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Gadi Barlevy & Pietro Veronesi, . "Information Acquisition in Financial Markets," CRSP working papers 484, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Bruno Biais & David Martimort & Jean-Charles Rochet, 2000.
"Competing Mechanisms in a Common Value Environment,"
Econometric Society, vol. 68(4), pages 799-838, July.
- Biais, Bruno & Martimort, David & Rochet, Jean-Charles, 1998. "Competing Mechanisms in a Commun Value Environment," IDEI Working Papers 75, Institut d'Économie Industrielle (IDEI), Toulouse.
- Kandel, Shmuel & Stambaugh, Robert F., 1991.
"Asset returns and intertemporal preferences,"
Journal of Monetary Economics,
Elsevier, vol. 27(1), pages 39-71, February.
- Holden, Craig W & Subrahmanyam, Avanidhar, 1996. "Risk Aversion, Liquidity, and Endogenous Short Horizons," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 691-722.
- Yoshifumi Muroi, 2005. "Pricing contingent claims with credit risk: Asymptotic expansion approach," Finance and Stochastics, Springer, vol. 9(3), pages 415-427, 07.
- Albert S. Kyle, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 317-355.
- Martin J. Osborne & Ariel Rubinstein, 1994.
"A Course in Game Theory,"
MIT Press Books,
The MIT Press,
edition 1, volume 1, number 0262650401, March.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
- Massoud, Nadia & Bernhardt, Dan, 1999. "Stock market dynamics with rational liquidity traders," Journal of Financial Markets, Elsevier, vol. 2(4), pages 359-389, November.
- Klemperer, Paul D & Meyer, Margaret A, 1989. "Supply Function Equilibria in Oligopoly under Uncertainty," Econometrica, Econometric Society, vol. 57(6), pages 1243-77, November.
- Crawford, Vincent P. & Varian, Hal R., 1979. "Distortion of preferences and the Nash theory of bargaining," Economics Letters, Elsevier, vol. 3(3), pages 203-206.
- McAfee, R Preston, 1993. "Mechanism Design by Competing Sellers," Econometrica, Econometric Society, vol. 61(6), pages 1281-1312, November.
- Jackson, Matthew O, 1991. "Equilibrium, Price Formation, and the Value of Private Information," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 1-16.
- Lehar, Alfred, 2005. "Measuring systemic risk: A risk management approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2577-2603, October.
- Anderson, Ronald W. & Carverhill, Andrew, 2007. "Liquidity and Capital Structure," CEPR Discussion Papers 6044, C.E.P.R. Discussion Papers.
- Kurz, Mordecai, 1977. "Distortion of preferences, income distribution, and the case for a linear income tax," Journal of Economic Theory, Elsevier, vol. 14(2), pages 291-298, April.
- Sobel, Joel, 1981. "Distortion of Utilities and the Bargaining Problem," Econometrica, Econometric Society, vol. 49(3), pages 597-619, May.
- Jeremy J. Siegel & Richard H. Thaler, 1997. "Anomalies: The Equity Premium Puzzle," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 191-200, Winter.
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:21:y:2011:i:13:p:949-956. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.