I analytically characterize the long-run behavior of an economy with two types of agents who
differ in their beliefs and are endowed with homothetic recursive preferences. Agents with …

The hypothesis that financial markets punish traders who make relatively inaccurate
forecasts and eventually eliminate the effect of their beliefs on prices is of fundamental …

We construct a model of an exchange economy in which agents trade assets contingent on
an observable signal, the probability of which depends on public opinion. The agents in our …

We consider an exchange economy where agents have heterogeneous beliefs and assets
are long-lived, and investigate the coupled dynamics of asset prices and agents' wealth. We …

In this paper, I consider an exchange economy with complete markets where agents have
heterogeneous beliefs and, possibly, preferences, and investigate the Market Selection …

We study prices and allocations in a complete‐markets, pure‐exchange economy in which
there are two types of agents with different priors over infinite sequences of the aggregate …

We introduce a methodology for analysing infinite horizon economies with two agents, one
good, and incomplete markets. We provide an example in which an agent's equilibrium …

We construct a model of an exchange economy in which agents trade assets contingent on
an observable signal, the probability of which depends on public opinion. The agents in our …

This paper investigates whether short-term momentum and long-term reversal may emerge
from the wealth reallocation process taking place in speculative markets. We assume that …

This paper analyzes and computes the equilibria of economies with large numbers of
heterogeneous agents who have different asset trading technologies, preferences and …