Participation Costs, Trend Chasing, and Volatility of Stock Prices

摘要: We analyze an overlapping generations model with fixed costs of stock market participation. Participation in the is determined endogenously and covaries positively preceding innovations dividends. The equilibrium share price related to participation same period information about future There “rational trend chasing” sense that, although all agents are rational, rises after increase falls a decrease. Finally, we show that endogenous fluctuations lead increased volatility price.