The comparative statics on asset prices based on bull and bear market measure

Masamitsu Ohnishi*, Yusuke Osaki

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


For single-period complete financial asset markets with representative investors, we introduce a bull market measure for uncertain state occurrence and its associated ordering between representative investors in markets based on their marginal rate of substitution between equilibrium consumption allocations among possible states. These concepts combine and generalize the likelihood-ratio-dominance relation between probability prospects of state occurrence and the Arrow-Pratt ordering of risk aversion in expected utility settings. By analyzing the comparative statics for bull market effects on equilibrium asset prices, we derive some monotone properties of the risk-free rate and discounted prices of dividend-monotone assets.

Original languageEnglish
Pages (from-to)291-300
Number of pages10
JournalEuropean Journal of Operational Research
Issue number2 SPEC. ISS.
Publication statusPublished - 2006 Jan 16
Externally publishedYes


  • Bull and bear market measure
  • Comparative statics
  • Dividend-monotone asset
  • Equilibrium asset price
  • Total positivity of order 2

ASJC Scopus subject areas

  • Computer Science(all)
  • Modelling and Simulation
  • Management Science and Operations Research
  • Information Systems and Management


Dive into the research topics of 'The comparative statics on asset prices based on bull and bear market measure'. Together they form a unique fingerprint.

Cite this