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- Title
An Equilibrium Model with Restricted Stock Market Participation.
- Authors
Basak, Suleyman; Cuoco, Domenico
- Abstract
This article solves the equilibrium problem in a pure-exchange, continuous-time economy in which some agents face information costs or other types of frictions effectively preventing them from investing in the stock market. Under the assumption that the restricted agents have logarithmic utilities, a complete characterization of equilibrium prices and consumption/ investment policies is provided A simple calibration shows that the model can help resolve some of the empirical asset pricing puzzles.
- Subjects
STOCK exchanges; EQUILIBRIUM; INVESTMENTS; CONSUMPTION (Economics); PRICES
- Publication
Review of Financial Studies, 1998, Vol 11, Issue 2, p309
- ISSN
0893-9454
- Publication type
Article
- DOI
10.1093/rfs/11.2.309