The Representative Agent, Overlapping Generations, and Asset Pricing

Asset Bubbles and Overlapping Generations

Indeterminacy and Asset Price Volatility in Stochastic Overlapping Generations Models∗

This paper addresses the e ects of indeterminacy on the volatility of asset prices in a stochastic overlapping generations model with 3-period lived agents. With complete markets, indeterminacy is characterized by the initial conditions and all equilibria converge to one of the deterministic steady states in the long run. With incomplete markets, the degree of indeterminacy is countably innite....

asset pricing anomalies at the firm level

Anomaly is deviation from common rules and in finance it can be defined as a pattern in the average of stock return that is not consistent with the prevailing asset pricing models literature. For anomaly investigation two common methods are used: portfolio approach and individual firm approach. This paper wants to shed light on anomalies of capital asset pricing model at the individual firm lev...

Overlapping Generations: The First Jubilee

Paul Samuelson’s (1958) overlapping generations model has turned 50. Seldom has so simple a model been so influential. Its “wow” factor, and the feeling of surprise at its originality and coolness have not paled with the years. The paper, in spite of its ripe age, still elicits wonder. Starting from the uncontroversial observation that “we live in a world where new generations are always coming...

The Taxation of Saving Returns in Overlapping Generations Economies with Stochastic Asset Bubbles

In the standard simple overlapping generations model with production (Diamond (1965)), the steady state competitive equilibrium level of capital under laissez-faire does not typically maximize the net production if the agents can save only in terms of capital. In particular, whenever the steady state competitive equilibrium level of capital is too high, net production and consumption can be inc...