Heterogeneous preferences and equilibrium trading volume

• 成果类型: Article
• 署名作者: Berrada, Tony; Hugonnier, Julien; Rindisbacher, Marcel
• 署名单位: University of Toronto; University of Lausanne; Swiss Finance Institute (SFI); University of Geneva
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.02.001
• 发表日期: 2007
• 页码: 719-750
• 关键词: TRADING VOLUME; no-trade equilibrium; portfolio autarky equilibrium; peculiar equilibrium; International finance

摘要

The representative-agent Lucas model stresses aggregate risk and hence does not allow us to study the impact of agents' heterogeneity on the dynamics of equilibrium trading volume. In this paper, we investigate under what conditions non-informational heterogeneity, i.e., differences in preferences and endowments, leads to nontrivial trading volume in equilibrium. We present a non-informational no-trade theorem that provides necessary and sufficient conditions for zero equilibrium trading volume in a continuous-time Lucas market model with heterogeneous agents, multiple goods, and multiple securities. We explain in detail how no-trade equilibria are related to autarky equilibria, portfolio autarky equilibria, and peculiar financial market equilibria, which play an important role in the literature on international risk sharing. (c) 2006 Elsevier B.V. All rights reserved.