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Comparative statics of asset prices : the effects of other assets' risk

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dc.contributor.authorDiasakos, Theodoros
dc.date.accessioned2013-10-16T14:31:01Z
dc.date.available2013-10-16T14:31:01Z
dc.date.issued2013-08
dc.identifier.citationDiasakos , T 2013 ' Comparative statics of asset prices : the effects of other assets' risk ' School of Economics & Finance Discussion Paper 1315 , no. 1315 , University of St Andrews .en
dc.identifier.issn0962-4031
dc.identifier.otherPURE: 38220955
dc.identifier.otherPURE UUID: e0ff0419-2549-4a9b-9c5c-770d75046c05
dc.identifier.urihttps://hdl.handle.net/10023/4087
dc.descriptionRevision & Resubmission requested by the Review of Asset Pricing Studies (ISSN: 2045-9920)en
dc.description.abstractCurrently, financial economics is unable to predict changes in asset prices with respect to changes in the underlying risk factors, even when an asset's dividend is independent of a given factor. This paper takes steps towards addressing this issue by highlighting a crucial component of wealth effects on asset prices hitherto ignored by the literature. Changes in wealth do not only alter an agent's risk aversion, but also her perceived ``riskiness'' of a security. The latter enhances significantly the extent to which market-clearing leads to endogenously-generated correlation across asset prices, over and above that induced by correlation between payoffs, giving the appearance of ``contagion.''
dc.format.extent42
dc.language.isoeng
dc.publisherUniversity of St Andrews
dc.relation.ispartofseriesSchool of Economics & Finance Discussion Paper 1315en
dc.rights(c) 2013 the authoren
dc.subjectGeneral equilibrium asset-pricingen
dc.subjectGeometric Brownian motionen
dc.subjectContagionen
dc.subjectHG Financeen
dc.subject.lccHGen
dc.titleComparative statics of asset prices : the effects of other assets' risken
dc.typeWorking or discussion paperen
dc.description.versionPostprinten
dc.contributor.institutionUniversity of St Andrews. School of Economics and Financeen
dc.identifier.urlhttp://ideas.repec.org/p/san/wpecon/1315.htmlen
dc.identifier.urlhttp://works.bepress.com/diasakos/4/en


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