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- W2156866382 abstract "It is difficult to explain the price insensitive or infra-marginal behavior, an example of which is the behavior of credit markets during the recent financial crisis, by risk aversion alone. It is known that infra-marginal behavior may arise with ambiguity aversion. Furthermore, there appears to be fairly strong evidence of a close connection between ambiguity and conformity. Here we propose an extension of the standard ambiguity framework to incorporate conformity. We find that there are open sets of state-price ratios over which the entire market is price insensitive or infra-marginal. This result has important implications for market equilibrium and volatility" @default.
- W2156866382 created "2016-06-24" @default.
- W2156866382 creator A5080171491 @default.
- W2156866382 date "2009-01-13" @default.
- W2156866382 modified "2023-09-27" @default.
- W2156866382 title "Ambiguity, Infra-Marginal Investors, and Market Prices" @default.
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