Title of article
Aggregate implicationsofmicroassetmarketsegmentation
Author/Authors
Chris Edmond، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
17
From page
319
To page
335
Abstract
An extensiveempiricalliteraturefindsthatmicroassetmarketsaresegmentedfrom
one another.Wedevelopaconsumption-basedassetpricingmodeltoquantifythe
aggregateimplicationsofafinancialsystemcomprisedofmanysuchsegmentedmicro
assetmarkets.Wespecifyexogenouslythelevelofsegmentationthatdetermineshow
much idiosyncraticrisktradersbearintheirmicromarketandcalibratethesegmenta-
tion tomatchfactsaboutsystematicandidiosyncraticreturnvolatility.Inourbench-
markmodeltradersbear30%oftheiridiosyncraticrisk,theunconditionalaggregate
equitypremiumis2.4%annual,andthewelfarecostsofsegmentationaresubstantial,
1.8% oflifetimeconsumption
Journal title
Journal of Monetary Economics
Serial Year
2012
Journal title
Journal of Monetary Economics
Record number
846524
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