Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment"

Kenneth L. Judd, Felix Kubler*, Karl Schmedders

*Corresponding author for this work

Research output: Contribution to journalArticle

3 Scopus citations

Abstract

In a comment, Peter Bossaerts and William R. Zame [2006. Finance Research Letters. This issue] claim that the main result of our paper [Judd, K.L., Kubler, F., Schmedders, K., 2003. The Journal of Finance 58, 2203-2217], namely the no-trade theorem for the dynamic Lucas infinite horizon economy with heterogeneous agents, is an artifact of the assumption that asset dividends and individual endowments follow the same stationary finite-state Markov process. In this reply, we clarify our assumptions and contrast them with the examples in Bossaerts and Zame.

Original languageEnglish (US)
Pages (from-to)102-105
Number of pages4
JournalFinance Research Letters
Volume3
Issue number2
DOIs
StatePublished - Jun 1 2006
Externally publishedYes

ASJC Scopus subject areas

  • Finance

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