Open AccessIlliquidity and the Wealth Effect
Author(s) -
Sébastien Galy
Publication year - 2003
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.381400
Subject(s) - economics , monetary economics , business , financial system
Investors’ attitudes towards risk and the resulting impact on prices in financial markets are determined by changes in their wealth. This wealth effect, however, provides a poor explanation of the observed distribution of futures prices for reasonable values of the degree of risk aversion. This paper shows that illiquidity in
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