Asset prices and the distribution of wealth

Alvaro Sandroni

doi:10.1016/s0165-1765(99)00092-0

Asset prices and the distribution of wealth

Alvaro Sandroni^*

^*Corresponding author for this work

Managerial Economics, Decision Sciences and Operations

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

This paper relates fluctuations in asset prices to stochastic arrival of agents with different discount factors. I show that even arbitrarily small and rare shocks could lead to an arbitrarily high average equity premium while average interest rates remain arbitrarily close to the average rate of productivity growth.

Original language	English (US)
Pages (from-to)	203-207
Number of pages	5
Journal	Economics Letters
Volume	64
Issue number	2
DOIs	https://doi.org/10.1016/s0165-1765(99)00092-0
State	Published - Aug 1999

Keywords

Asset prices
G12
Heterogeneous agents
Wealth distribution

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/s0165-1765(99)00092-0

Cite this

@article{635f680ad15a440ba9620f7ce7694117,

title = "Asset prices and the distribution of wealth",

abstract = "This paper relates fluctuations in asset prices to stochastic arrival of agents with different discount factors. I show that even arbitrarily small and rare shocks could lead to an arbitrarily high average equity premium while average interest rates remain arbitrarily close to the average rate of productivity growth.",

keywords = "Asset prices, G12, Heterogeneous agents, Wealth distribution",

author = "Alvaro Sandroni",

note = "Funding Information: I would like to express my gratitude to Franklin Allen and George Mailath for many valuable suggestions. I would also like to thank Suleyman Basak, Boyan Jovanovic, Atsushi Kajii, Stephen Morris and Andrew Postlewaite for useful comments. Financial support from the National Science Foundation grant 9730385 is gratefully acknowledged. All errors are mine.",

year = "1999",

month = aug,

doi = "10.1016/s0165-1765(99)00092-0",

language = "English (US)",

volume = "64",

pages = "203--207",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Asset prices and the distribution of wealth

AU - Sandroni, Alvaro

N1 - Funding Information: I would like to express my gratitude to Franklin Allen and George Mailath for many valuable suggestions. I would also like to thank Suleyman Basak, Boyan Jovanovic, Atsushi Kajii, Stephen Morris and Andrew Postlewaite for useful comments. Financial support from the National Science Foundation grant 9730385 is gratefully acknowledged. All errors are mine.

PY - 1999/8

Y1 - 1999/8

N2 - This paper relates fluctuations in asset prices to stochastic arrival of agents with different discount factors. I show that even arbitrarily small and rare shocks could lead to an arbitrarily high average equity premium while average interest rates remain arbitrarily close to the average rate of productivity growth.

AB - This paper relates fluctuations in asset prices to stochastic arrival of agents with different discount factors. I show that even arbitrarily small and rare shocks could lead to an arbitrarily high average equity premium while average interest rates remain arbitrarily close to the average rate of productivity growth.

KW - Asset prices

KW - G12

KW - Heterogeneous agents

KW - Wealth distribution

UR - http://www.scopus.com/inward/record.url?scp=0033444789&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0033444789&partnerID=8YFLogxK

U2 - 10.1016/s0165-1765(99)00092-0

DO - 10.1016/s0165-1765(99)00092-0

M3 - Article

AN - SCOPUS:0033444789

VL - 64

SP - 203

EP - 207

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 2

ER -

Asset prices and the distribution of wealth

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this