Publisher's Synopsis
Excerpt from The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices
In this section we present a series of incomplete market models in order to systematically show how various forms of market frictions can affect predicted asset prices. In particular, we investigate the effects of non-contractable shocks to individual income, the persistence and conditional volatility of these individual shocks, borrowing and short sales constraints, and transactions costs in asset markets.
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