Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/217065
Authors: 
Massari, Filippo
Year of Publication: 
2019
Citation: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 14 [Year:] 2019 [Issue:] 2 [Pages:] 437-473
Abstract: 
In a general equilibrium model with a continuum of traders and bounded aggregate endowment, I investigate the Market Selection Hypothesis that markets favor traders with accurate beliefs. Contrary to known results for economies with (only) finitely many traders, I find that risk attitudes affect traders' survival and that markets can favor 'lucky' traders with incorrect beliefs over 'skilled' traders with accurate beliefs. My model allows for a clear distinction between luck and skills and it shows that market selection forces induce efficient prices even when accurate traders do not survive in the long run.
Subjects: 
Market selection hypothesis
asset pricing
general equilibrium
JEL: 
D50
D90
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/4.0/
Document Type: 
Article

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