Economic Foundation of Asset Price Processes /
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 seria...
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| Format: | eBook |
| Language: | English |
| Published: |
Heidelberg :
Physica-Verlag HD : Imprint : Physica,
2004.
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| Series: | ZEW economic studies ;
24. |
| Subjects: | |
| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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. |
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| Item Description: | Electronic resource. |
| Physical Description: | 1 online resource (xii, 121 pages 8 illustrations) |
| ISBN: | 9783790826609 (electronic bk.) 379082660X (electronic bk.) |
| ISSN: | 1615-6781 ; |