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  • Christian, Mueller-Kademann
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    Abstract

    This paper presents a model for asset markets with a subjectively rational solution for the price of the traded asset. Traders cannot act objectively rational and an increase in the number of traders does not enlarge the information set neccessary for determining the “true” price. Consequentely, many well-known “puzzles” vanish as there is no objective truth to which data could live up. An empirical test is conducted which demonstrates the relevance of the argument across time, space, and markets.

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    File URL: https://mpra.ub.uni-muenchen.de/19852/1/MPRA_paper_19852.pdf
    File Function: original version
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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 19852.

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    Date of creation: 15 Oct 2009
    Handle: RePEc:pra:mprapa:19852
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    Keywords: rational expectations; uncertainty; Tobin tax; financial crisis;

    Find related papers by JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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