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The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure

Author

Listed:
  • Masamitsu Ohnishi

    (Graduate School of Economics, Osaka University; Daiwa Securities Chair, Graduate School of Economics, Kyoto University)

  • Yusuke Osaki

    (Graduate School of Economics, Osaka University)

Abstract

For single-period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood-ratio-dominance relation between probability prospects of state occurrence and the Arrow-Pratt ordering of risk aversion in expected utility settings. By analyzing the comparative statics for bull market effects on equilibrium asset prices, we derive some monotone properties of the risk-free rate and discounted prices of dividend-monotone assets.

Suggested Citation

  • Masamitsu Ohnishi & Yusuke Osaki, 2004. "The Comparative Statics on Asset Prices Based on Bull and Bear Market Measure," Discussion Papers in Economics and Business 04-10, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:0410
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    File URL: http://www2.econ.osaka-u.ac.jp/library/global/dp/0410.pdf
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    Cited by:

    1. Masamitsu Ohnishi & Yusuke Osaki, 2004. "The Comparative Statics of Equilibrium Derivative Prices," Discussion Papers in Economics and Business 04-19, Osaka University, Graduate School of Economics.

    More about this item

    Keywords

    Bull and Bear Market Measure; Comparative Statics; Equilibrium Asset Price; Dividend-Monotone Asset; Total Positivity of Order 2;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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