Event Details
Resolving Asset Pricing Puzzles with Price Impact
- Event Date: November 19, 2019
- Event End Date: November 19, 2019
- Event Start Time: 11:50 AM
- Event End Time: 12:50 PM
- Event Location: Hill 425
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Xiao Chen- Rutgers University
We solve in closed-form a Nash equilibrium model in which a finite number of exponential investors trade continuously with price-impact over a finite time horizon. By comparing our continuous-time Nash equilibrium model to the otherwise identical competitive Radner equilibrium model, we show that our Nash equilibrium model with price-impact can simultaneously help resolve the interest rate puzzle, the equity premium puzzle, and the stock volatility puzzle. Joint work with Jin Hyuk Choi, Kasper Larsen, and Duane J. Seppi.