Market selection
The hypothesis that financial markets punish traders who make relatively inaccurate forecasts and eventually eliminate the effect of their beliefs on prices is of fundamental importance to the standard modeling paradigm in asset pricing. We establish straightforward necessary and sufficient conditio...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier BV
2020
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| Online Access: | https://hdl.handle.net/1721.1/127794 |
| _version_ | 1826191444872790016 |
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| author | Kogan, Leonid Ross, Stephen A. Wang, Jiang Westerfield, Mark M. |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Kogan, Leonid Ross, Stephen A. Wang, Jiang Westerfield, Mark M. |
| author_sort | Kogan, Leonid |
| collection | MIT |
| description | The hypothesis that financial markets punish traders who make relatively inaccurate forecasts and eventually eliminate the effect of their beliefs on prices is of fundamental importance to the standard modeling paradigm in asset pricing. We establish straightforward necessary and sufficient conditions for agents to survive and to affect prices in the long run in a general setting with minimal restrictions on endowments, beliefs, or utility functions. We describe a new mechanism for the distinction between survival and price impact in a broad class of economies. Our results cover economies with time-separable utility functions, including possibly state-dependent preferences. |
| first_indexed | 2024-09-23T08:56:15Z |
| format | Article |
| id | mit-1721.1/127794 |
| institution | Massachusetts Institute of Technology |
| language | English |
| last_indexed | 2024-09-23T08:56:15Z |
| publishDate | 2020 |
| publisher | Elsevier BV |
| record_format | dspace |
| spelling | mit-1721.1/1277942022-09-30T12:16:58Z Market selection Kogan, Leonid Ross, Stephen A. Wang, Jiang Westerfield, Mark M. Sloan School of Management The hypothesis that financial markets punish traders who make relatively inaccurate forecasts and eventually eliminate the effect of their beliefs on prices is of fundamental importance to the standard modeling paradigm in asset pricing. We establish straightforward necessary and sufficient conditions for agents to survive and to affect prices in the long run in a general setting with minimal restrictions on endowments, beliefs, or utility functions. We describe a new mechanism for the distinction between survival and price impact in a broad class of economies. Our results cover economies with time-separable utility functions, including possibly state-dependent preferences. 2020-10-02T14:47:45Z 2020-10-02T14:47:45Z 2016-12 2016-11 2019-09-26T15:06:27Z Article http://purl.org/eprint/type/JournalArticle 0022-0531 https://hdl.handle.net/1721.1/127794 Kogan, Leonid et al. "Market selection." Journal of Economic Theory 168 (March 2017): 209-236 © 2016 Elsevier Inc en http://dx.doi.org/10.1016/j.jet.2016.12.002 Journal of Economic Theory Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Elsevier BV MIT web domain |
| spellingShingle | Kogan, Leonid Ross, Stephen A. Wang, Jiang Westerfield, Mark M. Market selection |
| title | Market selection |
| title_full | Market selection |
| title_fullStr | Market selection |
| title_full_unstemmed | Market selection |
| title_short | Market selection |
| title_sort | market selection |
| url | https://hdl.handle.net/1721.1/127794 |
| work_keys_str_mv | AT koganleonid marketselection AT rossstephena marketselection AT wangjiang marketselection AT westerfieldmarkm marketselection |