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An equilibrium model with buy and ho...

Wu, Tao.

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An equilibrium model with buy and hold investors.

Record Type:	Electronic resources : Monograph/item
Title/Author:	An equilibrium model with buy and hold investors./
Author:	Wu, Tao.
Description:	72 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-03, Section: A, page: 1058.
Contained By:	Dissertation Abstracts International65-03A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3125922
ISBN:	0496732111

An equilibrium model with buy and hold investors.
Wu, Tao.

An equilibrium model with buy and hold investors. - 72 p.

Source: Dissertation Abstracts International, Volume: 65-03, Section: A, page: 1058.

Thesis (Ph.D.)--University of Pennsylvania, 2004.

This paper analyzes the effects of buy and hold investors on security price dynamics in a pure-exchange, continuous-time model. Empirical studies suggest that many defined contribution plan participants follow buy and hold strategies by rarely changing asset and flow allocations due to information costs or other frictions. A buy and hold investor effectively faces an incomplete market and differs in her pricing of risk from a dynamic asset allocator. Construction of an equilibrium is achieved through a representative agent with state-dependent utility. The fraction of the stock held by the buy and hold investor emerges as an additional state variable. Characterization of equilibrium quantities is given analytically as function of the state variables. A simple calibration of our model shows that the economy with buy and hold investors can simultaneously produce a low interest rate and a high Sharpe ratio. At the same time, the model can deliver a stock return volatility more than twice that in the limited participation model while keeping interest rate volatility at reasonably low levels. Intuition for these results is also provided.

ISBN: 0496732111Subjects--Topical Terms:

626650
Economics, Finance.

An equilibrium model with buy and hold investors.
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035 $a (UnM)AAI3125922
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100 1 $a Wu, Tao. $3 1271259
245 1 3 $a An equilibrium model with buy and hold investors.
300 $a 72 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-03, Section: A, page: 1058.
500 $a Adviser: Domenico Cuoco.
502 $a Thesis (Ph.D.)--University of Pennsylvania, 2004.
520 $a This paper analyzes the effects of buy and hold investors on security price dynamics in a pure-exchange, continuous-time model. Empirical studies suggest that many defined contribution plan participants follow buy and hold strategies by rarely changing asset and flow allocations due to information costs or other frictions. A buy and hold investor effectively faces an incomplete market and differs in her pricing of risk from a dynamic asset allocator. Construction of an equilibrium is achieved through a representative agent with state-dependent utility. The fraction of the stock held by the buy and hold investor emerges as an additional state variable. Characterization of equilibrium quantities is given analytically as function of the state variables. A simple calibration of our model shows that the economy with buy and hold investors can simultaneously produce a low interest rate and a high Sharpe ratio. At the same time, the model can deliver a stock return volatility more than twice that in the limited participation model while keeping interest rate volatility at reasonably low levels. Intuition for these results is also provided.
590 $a School code: 0175.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a University of Pennsylvania. $3 1017401
773 0 $t Dissertation Abstracts International $g 65-03A.
790 1 0 $a Cuoco, Domenico, $e advisor
790 $a 0175
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3125922