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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Reply to 'Asset Trading Volume in Innite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment' |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Finance Research Letters |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 1544-6131 |
| Volume | 3 |
| Number | 2 |
| Page Range | 102 - 105 |
| Date | 2006 |
| Abstract Text | In a comment, Peter Bossaerts and William R. Zame [2006. Finance Research Letters. This issue] claim that the main result of our paper [Judd, K.L., Kubler, F., Schmedders, K., 2003. The Journal of Finance 58, 2203–2217], namely the no-trade theorem for the dynamic Lucas infinite horizon economy with heterogeneous agents, is an artifact of the assumption that asset dividends and individual endowments follow the same stationary finite-state Markov process. In this reply, we clarify our assumptions and contrast them with the examples in Bossaerts and Zame. |
| Official URL | http://www.sciencedirect.com/science/article/pii/S1544612306000080 |
| Other Identification Number | merlin-id:3485 |
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