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dc.contributor.authorBeddock, Arthur
dc.contributor.authorJouini, Elyès
dc.date.accessioned2020-05-15T09:55:23Z
dc.date.available2020-05-15T09:55:23Z
dc.date.issued2020
dc.identifier.issn0938-2259
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20744
dc.language.isoenen
dc.subjectHeterogeneous beliefs · Heterogeneous time preference rates · Continuum of agents · Asset pricing · Market elimination · Surviving agenten
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G11en
dc.titleLive fast, die young: equilibrium and survival in large economiesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe model a continuous-time economy with a continuum of investors who differ both in belief and time preference rate and analyze the impact of these heterogeneities on the behavior of financial markets. In particular, we allow the two types of heterogeneity to be correlated: a negative correlation means that the most optimistic agents are also the most patient ones. We fully characterize the risk-free rate which is procyclical and the market price of risk which is countercyclical. When the two types of heterogeneity are negatively correlated, the former is higher and the latter lower compared to the standard case. A negative correlation also leads to a higher market volatility. Moreover, we find that the trading volume increases with the variance of the belief heterogeneity distribution. Finally, the surviving agent of this economy is not necessarily the one who maximizes her utility over her lifetime: a shorter life might be more rewarding than a longer one.en
dc.relation.isversionofjnlnameEconomic Theory
dc.relation.isversionofjnldate2020-05
dc.relation.isversionofdoi10.1007/s00199-020-01268-yen
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingouien
dc.relation.forthcomingprintouien
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2020-05-15T09:05:43Z
hal.person.labIds60
hal.person.labIds60
hal.faultCodeInternal server error: Test collection CEREMADE-DAUPHINE not found


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