Bounded Rationality and Asset Pricing with Intermediate Consumption

B-Tier
Journal: Review of Finance
Year: 2009
Volume: 13
Issue: 4
Pages: 693-725

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We consider a pure exchange economy with incomplete information. Some agents display learning bias and over- or under-react to the arrival of new information. We show under which conditions biased agents survive over a finite horizon. We also study the distribution of irrational agents consumption shares. Irrational agents have a signiÞcant consumption share in the economy when (i) shocks are less persistent (ii) risk aversion is high (iii) volatility of aggregate consumption is high. We also show that agents impact on prices is increasing in their consumption share and conclude that biased agents can signiÞcantly influence equilibrium quantities. Copyright 2009, Oxford University Press.

Technical Details

RePEc Handle
repec:oup:revfin:v:13:y:2009:i:4:p:693-725
Journal Field
Finance
Author Count
1
Added to Database
2026-01-24