Economic Foundation of Asset Price Processes
Dr. Erik Lüders (auth.)In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series models these processes do not lack a sound economic foundation. Moreover, in contrast to the popular Ornstein Uhlenbeck process and the Constant Elasticity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy.
Kategorie:
Rok:
2004
Wydanie:
1
Wydawnictwo:
Physica-Verlag Heidelberg
Język:
english
Strony:
121
ISBN 10:
379082660X
ISBN 13:
9783790826609
Serie:
ZEW Economic Studies 24
Plik:
PDF, 5.97 MB
IPFS:
,
english, 2004
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