Asset prices and the distribution of wealth

Alvaro Sandroni*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Pages (from-to)203-207
Number of pages5
JournalEconomics Letters
Volume64
Issue number2
StatePublished - Aug 1 1999

Keywords

  • Asset prices
  • G12
  • Heterogeneous agents
  • Wealth distribution

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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