Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/200113 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
SAFE Working Paper No. 252
Verlag: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Zusammenfassung: 
We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In a model with jumps in aggregate consumption, incompleteness barely matters, since the consumption claim resembles an insurance product against jump risk and effectively reproduces approximate spanning. In a long-run risk model with jumps in the long-run growth rate, market incompleteness affects speculation, and investor survival. Jump and diffusive risks are more balanced regarding their importance and, therefore, the consumption claim cannot reproduce approximate spanning.
Schlagwörter: 
market (in)completeness
heterogeneous beliefs
jumps in the longrungrowth rate
jumps in aggregate consumption
recursive preferences
JEL: 
D51
D52
G12
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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