Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Shapiro, Alexander | - |
dc.date.accessioned | 2008-05-29T14:16:13Z | - |
dc.date.available | 2008-05-29T14:16:13Z | - |
dc.date.issued | 1999-09 | - |
dc.identifier.uri | http://hdl.handle.net/2451/26960 | - |
dc.description.abstract | This paper analyzes equilibrium in a dynamic pure-exchange economy under a generalization of Merton's (1987) investor recognition hypothesis (IRH). Because of information costs, a class of investors is assumed to possess incomplete information, which suffices to implement only a particular trading strategy. The IRH is mapped into corresponding portfolio restrictions that bind a subset of agents. The model is formulated in continuous time, and detailed characterization of equilibrium quantities is provided. The model implies that, all else equal, a risk premium on a less visible stock need not be higher than that on a more visible stock with a lower volatility -- contrary to results derived in a static mean-variance setting. An empirical analysis suggests that a consumption-based capital asset pricing model (CCAPM) augmented by the IRH is a more realistic model than the traditional CCAPM for explaining the cross-sectional variation in unconditional expected equity returns. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | FIN-99-031 | en |
dc.title | The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and | en |
dc.type | Working Paper | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
wpa99031.pdf | 902.05 kB | Adobe PDF | View/Open |
Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.