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La valutazione delle attività finanziarie in mercati imperfetti: una nota su premio al rischio e potere di mercato - The Valuation of Assets in Imperfect Markets: A Note on Risk Premium and Market Power

Author

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  • Cesari, Riccardo

    (Dipartimento di Matematica per le Scienze Economiche e Sociali)

Abstract

This paper presents a simple asset valutation model in imperfect markets under condition of borroers' bankrupcy risk and investors' endogenous preferences. A generalized for of "risk premium" is obtained as a function of both usual parameters and market power. Direct evidence in favour of Hicks's hypothesis of a negative relationship between market power and risk preference is provided by an application to the loan market.

Suggested Citation

  • Cesari, Riccardo, 1991. "La valutazione delle attività finanziarie in mercati imperfetti: una nota su premio al rischio e potere di mercato - The Valuation of Assets in Imperfect Markets: A Note on Risk Premium and Market Pow," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 44(1), pages 20-26.
    • Handle: RePEc:ris:ecoint:0483
    as

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