Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297410 
Year of Publication: 
2023
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2023-25
Publisher: 
Bank of Canada, Ottawa
Abstract: 
We study indefinitely lived assets in experimental markets and find that the traded prices of these assets are, on average, about 40% of the risk-neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can account for this low traded price. An Epstein and Zin (1989) recursive preference specification that models the dynamic realization of dividend payments and incorporates risk preferences can rationalize the low traded price observed in our indefinitely lived asset market.
Subjects: 
Asset pricing
Financial markets
JEL: 
C91
C92
D81
G12
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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