Equilibrium asset prices with undiversifiable labor income risk

Article Abstract:

A study was done to analyze the equity premium problem of incomplete insurance markets. A model which disregards wealth distribution tracking across time and states is developed for the study. Results show that the assumption of complete insurance markets underestimate private savings and overestimate equilibrium returns. Risk aversion and precautionary saving alone cannot determine the equity premium bias' direction.

Author: Weil, Philippe
Insurance agents

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Periodic market closure and trading volume: a model of intraday bid and asks

Article Abstract:

A study was done to analyze the impact of periodic stock market closures on transactions demand, trading volume and bid and ask prices. The study follows earlier research findings that open and close transactions demand may be greater and less elastic at other trading day periods. Stock market specialists take this opportunity to charge higher prices when peak demand is reached.

Author: Brock, William A., Kleidon, Allan W.

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Approximating volatility diffusions with CEV-ARCH models

Article Abstract:

An ARCH model for estimating volatility in stock prices in developed economies is presented.

Author: Fornari, Fabio, Mele, Antonio
United States, Industrialized Countries, Analysis, Usage, Industrial nations, Statistical methods

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Subjects list: Economic aspects, Prices and rates, Stocks, Stock-exchange, Stock exchanges, Stock prices
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