Markets Do Not Select For a Liquidity Preference as Behavior Towards Risk
Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account the evolution of wealth of cash holders versus non cash holders. Cash holders will be driven out of the market in the long run by traders who only use a (risky) long-lived asset to transfer wealth.
|Date of creation:||Dec 2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+45) 35 32 30 10
Fax: +45 35 32 30 00
Web page: http://www.econ.ku.dk
More information through EDIRC
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.:
- repec:att:wimass:9621 is not listed on IDEAS
- Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
- Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002.
"Market Selection Of Financial Trading Strategies: Global Stability,"
Wiley Blackwell, vol. 12(4), pages 329-339.
- Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, . "Market Selection of Financial Trading Strategies: Global Stability," IEW - Working Papers 083, Institute for Empirical Research in Economics - University of Zurich.
- Luenberger, David G., 1993. "A preference foundation for log mean-variance criteria in portfolio choice problems," Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 887-906.
- Mark Rubinstein., 1991. "Continuously Rebalanced Investment Strategies," Research Program in Finance Working Papers RPF-205, University of California at Berkeley.
- Merton, Robert C. & Samuelson, Paul A., 1974. "Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods," Journal of Financial Economics, Elsevier, vol. 1(1), pages 67-94, May.
- Hellwig Martin F., 1995. "The Assessment of Large Compounds of Independent Gambles," Journal of Economic Theory, Elsevier, vol. 67(2), pages 299-326, December.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
- William A. Brock & Cars H. Hommes, 1995.
"Rational Routes to Randomness,"
95-03-029, Santa Fe Institute.
- Kurz, Mordecai, 1994. "On the Structure and Diversity of Rational Beliefs," Economic Theory, Springer, vol. 4(6), pages 877-900, October.
- William A. Brock & Cars H. Hommes, 1997.
"A Rational Route to Randomness,"
Econometric Society, vol. 65(5), pages 1059-1096, September.
- repec:att:wimass:9725 is not listed on IDEAS
- Hellwig, Martin F., 1993. "The challenge of monetary theory," European Economic Review, Elsevier, vol. 37(2-3), pages 215-242, April.
- Blake LeBaron, 1999.
"Evolution and Time Horizons in an Agent-Based Stock Market,"
Computing in Economics and Finance 1999
1342, Society for Computational Economics.
- LeBaron, Blake, 2001. "Evolution And Time Horizons In An Agent-Based Stock Market," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 225-254, April.
- Brock, William A. & Hommes, Cars H., 1998.
"Heterogeneous beliefs and routes to chaos in a simple asset pricing model,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 22(8-9), pages 1235-1274, August.
- Shefrin, Hersh M. & Statman, Meir, 1984. "Explaining investor preference for cash dividends," Journal of Financial Economics, Elsevier, vol. 13(2), pages 253-282, June.
- Alvaro Sandroni, 2000. "Do Markets Favor Agents Able to Make Accurate Predicitions?," Econometrica, Econometric Society, vol. 68(6), pages 1303-1342, November.
- LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999.
"Time series properties of an artificial stock market,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 23(9-10), pages 1487-1516, September.
- Blume, Lawrence & Easley, David, 1992. "Evolution and market behavior," Journal of Economic Theory, Elsevier, vol. 58(1), pages 9-40, October.
When requesting a correction, please mention this item's handle: RePEc:kud:kuiedp:0218. 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: (Thomas Hoffmann)
If references are entirely missing, you can add them using this form.