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Participation Externalities and Asset Price Volatility

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  • Helios Herrera

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  • Helios Herrera, 2001. "Participation Externalities and Asset Price Volatility," NajEcon Working Paper Reviews 625018000000000242, www.najecon.org.
    • Handle: RePEc:cla:najeco:625018000000000242
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    1. Marco Pagano, 1989. "Trading Volume and Asset Liquidity," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(2), pages 255-274.
    2. Marco Pagano, 1989. "Endogenous Market Thinness and Stock Price Volatility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(2), pages 269-287.
    3. Spiegel, Matthew, 1998. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 419-447.
    4. Boyan Jovanovic & Peter L. Rousseau, 2001. "Why Wait? A Century of Life before IPO," American Economic Review, American Economic Association, vol. 91(2), pages 336-341, May.
    5. Chatterjee, Satyajit & Corbae, Dean, 1992. "Endogenous Market Participation and the General Equilibrium Value of Money," Journal of Political Economy, University of Chicago Press, vol. 100(3), pages 615-646, June.
    6. Orosel, Gerhard O, 1998. "Participation Costs, Trend Chasing, and Volatility of Stock Prices," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 521-557.
    7. Allen, Franklin & Gale, Douglas, 1994. "Limited Market Participation and Volatility of Asset Prices," American Economic Review, American Economic Association, vol. 84(4), pages 933-955, September.
    8. Yves Balasko & David Cass & Karl Shell, 1995. "Market Participation and Sunspot Equilibria," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(3), pages 491-512.
    9. David Hirshleifer, 1988. "Residual Risk, Trading Costs, and Commodity Futures Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 1(2), pages 173-193.
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    Cited by:

    1. Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2003. "Household stockholding in Europe: where do we stand and where do we go? [‘Limited market participation and volatility of assets prices’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 18(36), pages 123-170.
    2. Bilias, Yannis & Georgarakos, Dimitris & Haliassos, Michael, 2005. "Equity culture and the distribution of wealth," CFS Working Paper Series 2005/20, Center for Financial Studies (CFS).
    3. Yannis Bilias & Michael Haliassos, 2004. "The Distribution of Gains from Access to Stocks," CSEF Working Papers 125, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.

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