著者

Ui Takashi

出版者

Oxford University Press

雑誌

Review of finance : journal of the European Finance Association (ISSN:15723097)

巻号頁・発行日

vol.15, no.2, pp.245-275, 2011

---

This paper considers a stock market with ambiguity-averse informed investors under the CARA-normal setting, and studies the relationship between limited market participation and the equity premium which is decomposed into the risk premium and the ambiguity premium. In a rational expectations equilibrium, limited market participation arises if the largest deviation of investors' ambiguity increases sufficiently or if the variance of the stock return decreases sufficiently. In each case, a change in the risk premium and a change in the ambiguity premium may have opposite signs. This paper identifies conditions under which a change with the plus sign dominates and thus the equity premium increases when fewer investors participate in the stock market.

著者

Jed Esty

出版者

Oxford University Press

巻号頁・発行日

2012

著者

edited by Michael F. Suarez and H.R. Woudhuysen

出版者

Oxford University Press

巻号頁・発行日

2010