Stock Price Volatility in a Multiple Security Overlapping Generations Model
构建了一个包含随机资产供给和有限生命交易者的多证券世代交叠模型，发现存在2^K个均衡，其中高波动均衡能用很小的供给冲击产生巨大价格波动，且增加证券种类可进一步降低所需冲击，从而解释标准股息贴现模型无法完全解释的股价波动性。
A number of empirical studies have reached the conclusion that stock price volatility cannot be fully explained within the standard dividend discount model. This article proposes a resolution based upon a model that contains both a random supply of risky assets and finitely lived agents who trade in a multiple security environment. As the analysis shows there exist |$2^K$| equilibria when K securities trade. The low volatility equilibria have properties analogous to those found in the infinitely lived agent models of Campbell and Kyle (1991) and Wang (1993, 1994). In contrast, the high-volatility equilibria have very different characteristics. Within the high-volatility equilibria very large price variances can be generated with very small supply shocks. Adding securities to the economy further reduces the required supply shocks. Using previously established empirical results the model can reconcile the data with supply shocks that are less than 10% as large as observed return shocks. These results are shown to hold even when the dividend process is mean reverting.