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Sorting in risk-aversion and asset price volatility

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  • Herrera, Helios
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Suggested Citation

  • Herrera, Helios, 2005. "Sorting in risk-aversion and asset price volatility," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 557-570, August.
    • Handle: RePEc:eee:mateco:v:41:y:2005:i:4-5:p:557-570
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    References listed on IDEAS

    as
    1. Basak, Suleyman & Cuoco, Domenico, 1998. "An Equilibrium Model with Restricted Stock Market Participation," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 309-341.
    2. Orosel, Gerhard O, 1998. "Participation Costs, Trend Chasing, and Volatility of Stock Prices," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 521-557.
    3. Merton, Robert C, 1987. "A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
    4. Allen, Franklin & Gale, Douglas, 1994. "Limited Market Participation and Volatility of Asset Prices," American Economic Review, American Economic Association, vol. 84(4), pages 933-955, September.
    5. Juan Dubra & Helios Herrera, 2002. "Market Participation, Information and Volatility," Working Papers 0206, Centro de Investigacion Economica, ITAM.
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    Cited by:

    1. Jakree Koosakul & Ilhyock Shim, 2017. "The beneficial aspect of FX volatility for market liquidity," BIS Working Papers 629, Bank for International Settlements.
    2. Juan Dubra & Helios Herrera, 2002. "Market Participation, Information and Volatility," Working Papers 0206, Centro de Investigacion Economica, ITAM.
    3. Peress, Joel, 2010. "The tradeoff between risk sharing and information production in financial markets," Journal of Economic Theory, Elsevier, vol. 145(1), pages 124-155, January.

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