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Inequity Aversion, Financial Markets, and Output Fluctuations

Author

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  • Georg Gebhardt

    (University of Munich and University of Chicago,)

Abstract

Drawing on recent advances in the study of reference dependent utility we model financial markets as a coordination game with multiple equilibria. Asset valuations may change endogenously through re-coordination which induces fluctuations in output. These fluctuations are shown to be quantitatively relevant and inefficient. (JEL: G12) Copyright (c) 2004 The European Economic Association.

Suggested Citation

  • Georg Gebhardt, 2004. "Inequity Aversion, Financial Markets, and Output Fluctuations," Journal of the European Economic Association, MIT Press, vol. 2(2-3), pages 229-239, 04/05.
    • Handle: RePEc:tpr:jeurec:v:2:y:2004:i:2-3:p:229-239
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    Cited by:

    1. Amrei Lahno & Marta Serra-Garcia, 2015. "Peer effects in risk taking: Envy or conformity?," Journal of Risk and Uncertainty, Springer, vol. 50(1), pages 73-95, February.
    2. Baghestanian, Sascha & Gortner, Paul J. & van der Weele, Joël J., 2015. "Peer effects and risk sharing in experimental asset markets," SAFE Working Paper Series 67, Leibniz Institute for Financial Research SAFE, revised 2015.
    3. Klaus M. Schmidt, 2011. "Social Preferences and Competition," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(s1), pages 207-231, August.
    4. Fabio Maccheroni Jr. & Massimo Marinacci Jr. & Aldo Rustichini Jr., 2014. "Pride and Diversity in Social Economies," American Economic Journal: Microeconomics, American Economic Association, vol. 6(4), pages 237-271, November.
    5. Klaus M. Schmidt, 2011. "Social Preferences and Competition," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 207-231, August.
    6. Lahno, Amrei M., 2014. "Social anchor effects in decision-making under ambiguity," Discussion Papers in Economics 20960, University of Munich, Department of Economics.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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