TY - JOUR
T1 - Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents
T2 - Comment"
AU - Judd, Kenneth L.
AU - Kubler, Felix
AU - Schmedders, Karl
PY - 2006/6
Y1 - 2006/6
N2 - 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.
AB - 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.
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U2 - 10.1016/j.frl.2006.02.001
DO - 10.1016/j.frl.2006.02.001
M3 - Article
AN - SCOPUS:33747511103
SN - 1544-6123
VL - 3
SP - 102
EP - 105
JO - Finance Research Letters
JF - Finance Research Letters
IS - 2
ER -