"Overreaction" of Asset Prices in General Equilibrium

Article, Preprint OPEN
S. Rao Aiyagari; Mark Gertler;
(1998)
  • Journal: Review of Economic Dynamics,volume 2,issue 1 January,pages3-35
  • Related identifiers: doi: 10.1006/redy.1998.0053
  • Subject: asser pricing, financial constraints, general equilibrium | PRICING ; GENERAL EQUILIBRIUM ; FINANCIAL ASSETS
    • jel: jel:G1 | jel:E0

We attempt to explain the overreaction of asset prices to movements in short-term interest rates, dividends, and asset supplies. The key element of our explanation is a margin constraint that traders face which limits their leverage to a fraction of the value of their a... View more
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