IDEAS home Printed from https://ideas.repec.org/p/osk/wpaper/0410.html
   My bibliography  Save this paper

The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure

Author

Listed:
  • Masamitsu Ohnishi

    () (Graduate School of Economics, Osaka University; Daiwa Securities Chair, Graduate School of Economics, Kyoto University)

  • Yusuke Osaki

    () (Graduate School of Economics, Osaka University)

Abstract

For 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.

Suggested Citation

  • Masamitsu Ohnishi & Yusuke Osaki, 2004. "The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure," Discussion Papers in Economics and Business 04-10, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  • Handle: RePEc:osk:wpaper:0410
    as

    Download full text from publisher

    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0410.pdf
    Download Restriction: no

    More about this item

    Keywords

    Bull and Bear Market Measure; Comparative Statics; Equilibrium Asset Price; Dividend-Monotone Asset; Total Positivity of Order 2;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:osk:wpaper:0410. 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: (Atsuko SUZUKI). General contact details of provider: http://edirc.repec.org/data/feosujp.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.