000			02912cam a22004097 4500
001			w15189
003			NBER
005			20211020111433.0
006			m o d
007			cr cnu||||||||
008			210910s2009 mau fo 000 0 eng d
100	1		_aKogan, Leonid. _914436
245	1	0	_aMarket Selection / _cLeonid Kogan, Stephen Ross, Jiang Wang, Mark M. Westerfield.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2009.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w15189
500			_aJuly 2009.
520	3		_aThe hypothesis that financial markets punish traders who make relatively inaccurate forecasts and eventually eliminate the effect of their beliefs on prices is of fundamental importance to the standard modeling paradigm in asset pricing. We establish necessary and sufficient conditions for agents making inferior forecasts to survive and to affect prices in the long run in a general setting with minimal restrictions on endowments, beliefs, or utility functions. We show that the market selection hypothesis is valid for economies with bounded endowments or bounded relative risk aversion, but it cannot be substantially generalized to a broader class of models. Instead, survival is determined by a comparison of the forecast errors to risk attitudes. The price impact of inaccurate forecasts is distinct from survival because price impact is determined by the volatility of traders' consumption shares rather than by their level. Our results also apply to economies with state-dependent preferences, such as habit formation.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aD51 - Exchange and Production Economies _2Journal of Economic Literature class.
690		7	_aD53 - Financial Markets _2Journal of Economic Literature class.
690		7	_aG1 - General Financial Markets _2Journal of Economic Literature class.
690		7	_aG11 - Portfolio Choice • Investment Decisions _2Journal of Economic Literature class.
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
690		7	_aG14 - Information and Market Efficiency • Event Studies • Insider Trading _2Journal of Economic Literature class.
700	1		_aRoss, Stephen.
700	1		_aWang, Jiang. _922616
700	1		_aWesterfield, Mark M.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w15189.
856	4	0	_uhttps://www.nber.org/papers/w15189
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w15189
942			_2ddc _cW-PAPER
999			_c332932 _d291494