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Risky arbitrage, asset prices, and externalities
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Le Van, Cuong, Page Jr., Frank H. and Wooders, Myrna (2007) Risky arbitrage, asset prices, and externalities. ECONOMIC THEORY, 33 (3). pp. 475-491. doi:10.1007/s00199-006-0151-1 ISSN 0938-2259.
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Official URL: http://dx.doi.org/10.1007/s00199-006-0151-1
Abstract
We introduce a no-risky-arbitrage price condition (NRAP) for asset market models allowing both unbounded short sales and externalities such as trading volume. We then demonstrate that NRAP is sufficient for the existence of competitive equilibrium in the presence of externalities. Moreover, we show that if all risky arbitrages are utility increasing, then NRAP characterizes competitive equilibrium in the presence of externalities.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
Journal or Publication Title: | ECONOMIC THEORY | ||||
Publisher: | SPRINGER | ||||
ISSN: | 0938-2259 | ||||
Official Date: | December 2007 | ||||
Dates: |
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Volume: | 33 | ||||
Number: | 3 | ||||
Number of Pages: | 17 | ||||
Page Range: | pp. 475-491 | ||||
DOI: | 10.1007/s00199-006-0151-1 | ||||
Publication Status: | Published |
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