Market selection in large economies: A matter of luck

• 成果类型: Article
• 署名作者: Massari, Filippo
• 署名单位: University of New South Wales Sydney
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE2456
• 发表日期: 2019-05-01
• 页码: 437-473
• 关键词: Market selection hypothesis; asset pricing; general equilibrium

摘要

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.