Segmentation and beliefs: A theory of self-fulfilling idiosyncratic risk

• 成果类型: Article
• 署名作者: Khorrami, Paymon; Zentefis, Alexander K.
• 署名单位: Duke University; Yale University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2024.105954
• 发表日期: 2025
• 关键词: Idiosyncratic risk; Segmented markets; volatility; asset pricing; multiple equilibria

摘要

We study a multi-location general equilibrium model with financial market segmentation that permits self-fulfilling fluctuations. In a precise sense, such fluctuations are most often redistributive, but their volatility varies systematically with an aggregate latent factor. We thus provide a coordination-based microfoundation for time-varying idiosyncratic risk. A key assumption of our analysis is that cash flow growth rates (e.g., firm profit growth, asset dividend growth, or country output growth) rise with valuations. We consider two applications: (i) firm dynamics and their risk factor structure; and (ii) exchange rate disconnect in international macroeconomics.