Uniqueness of Competitive Equilibrium Price in Linear Exchange Economies: A Note

2012 ◽  
Author(s):  
Somdeb Lahiri
Keyword(s):  
Competitive Equilibrium ◽  
Equilibrium Price ◽  
Exchange Economies ◽  
Linear Exchange

Experimental Stock Markets with Controlled Risk Preferences

1992 ◽  
Vol 7 (2) ◽  
pp. 117-134 ◽  
Author(s):  
John R. O'Brien
Keyword(s):  
Risk Sharing ◽  
Competitive Equilibrium ◽  
Risk Preferences ◽  
World Market ◽  
Equilibrium Price ◽  
Double Auction ◽  
Pareto Optimal ◽  
Market Institution ◽  
Certainty Equivalents ◽  
Optimal Risk Sharing

In this paper the empirical validity of the binary lottery preference inducing technique is tested in a real world market institution. In each market the potential gains to exchange arise from induced risk preferences, and the predicted competitive equilibrium is equivalent to the Pareto optimal risk sharing allocation. Price convergence to (and near) the competitive equilibrium price was rapid in each market, and most trades were individually rational with respect to induced certainty equivalents. This evidence implies that preferences can be induced in an oral double auction institution, using this technique.

scholarly journals Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal

2015 ◽  
Vol 105 (1) ◽  
pp. 01-34 ◽  
Author(s):  
Marco Ottaviani ◽  
Peter Norman Sørensen
Keyword(s):  
Asset Prices ◽  
Competitive Equilibrium ◽  
Equilibrium Price ◽  
Heterogeneous Beliefs ◽  
Wealth Effects ◽  
Risk Averse ◽  
Prior Beliefs ◽  
Initial Momentum ◽  
Dynamic Setting ◽  
Long Run

This paper analyzes how asset prices in a binary market react to information when traders have heterogeneous prior beliefs. We show that the competitive equilibrium price underreacts to information when there is a bound to the amount of money traders are allowed to invest. Underreaction is more pronounced when prior beliefs are more heterogeneous. Even in the absence of exogenous bounds on the amount that traders can invest, prices underreact to information provided that traders become less risk averse as their wealth increases. In a dynamic setting, underreaction results in initial momentum and then reversal in the long run. (JEL D83, D84, G11, G12, G14)

Existence and optimality of oligopoly equilibria in linear exchange economies

2003 ◽  
Vol 22 (4) ◽  
pp. 727-741 ◽  
Author(s):  
Jean-Marc Bonnisseau ◽  
Michael Florig
Keyword(s):  
Exchange Economies ◽  
Linear Exchange

scholarly journals Linear exchange economies with a continuum of agents

2001 ◽  
Vol 3 (4) ◽  
pp. 253-272 ◽  
Author(s):  
Monique Florenzano ◽  
Emma Moreno-García
Keyword(s):  
Exchange Economies ◽  
Linear Exchange
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