Efficient Complete Markets Are the Rule Rather thanthe Exception

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dc.contributor.authorJOSÉ HELENO FARO
dc.contributor.authorChateauneuf, Alain
dc.contributor.authorAraujo, Aloisio
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorChateauneuf, Alain
dc.creatorAraujo, Aloisio
dc.date.accessioned2022-12-17T12:45:52Z
dc.date.available2022-12-17T12:45:52Z
dc.date.issued2015
dc.description.notesTexto completopt_BR
dc.description.otherWhen the nancial market has frictions there must be multiple or ambiguous risk-neutral probabilities. By providing a complete characterization of pricing rules of nancial markets with a nite number of assets over a given state space, we are able to describe how we can recover an underlying nancial market structure related to any nitely generated pricing rule. We provide a novel characterization for the set of efcient securities (that is, chosen by at least one rational expected utility agent) revealed by any valuation rule, which allows us to propose two meaningful notions of completeness: while a unique underlying complete market means that it is possible to replicate any position by trading efcient securities, the case of an underlying efcient complete market means that all nancial positions are replicable and efcient. Our main result shows that efcient complete markets (with bid-ask spreads) is the prevalent case that emerges from the universe of all nitely generated pricing rules. Furthermore, any failure of efcient completeness requires valuation rules associate to sets of probabilities allowing disagreement about null events. In particular, the assumption of a Savagian state space almost precludes incompleteness.pt_BR
dc.format.extent40 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issn2328-8175pt_BR
dc.identifier.issn1547-1101pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5028
dc.identifier.wpe352pt_BR
dc.language.isoPortuguêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofJournal of Economic Literaturept_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsefficiencypt_BR
dc.subject.keywordspricing rulespt_BR
dc.subject.keywordsrisk-neutral probabilitiespt_BR
dc.subject.keywordsasset pricingpt_BR
dc.subject.keywordsbid-ask spreadspt_BR
dc.subject.keywordscomplete marketspt_BR
dc.subject.keywordsincompletenesspt_BR
dc.titleEfficient Complete Markets Are the Rule Rather thanthe Exceptionpt_BR
dc.typeworking paper
dspace.entity.typePublication
local.identifier.sourceUrihttps://www.insper.edu.br/working-papers/efficient-complete-markets-are-the-rule-rather-than-the-exception/
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR
relation.isAuthorOfPublication6f68f2a4-9e10-4c94-a5e8-62ba771c81d7
relation.isAuthorOfPublication.latestForDiscovery6f68f2a4-9e10-4c94-a5e8-62ba771c81d7

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