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Economic Foundation of Asset Price Processes /

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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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Bibliographic Details
Main Author: Lüders, Erik
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Heidelberg : Physica-Verlag HD : Imprint : Physica, 2004.
Series:ZEW economic studies ; 24.
Subjects:
Economics.
Finance.
Econometrics.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Introduction
  • Arbitrage-Free Markets and the Pricing Kernel
  • The Information Process
  • Literature Review
  • Asset Returns with Non-Constant Elasticity of the Pricing Kernel
  • Analytical Asset Price Processes
  • Asset Returns Given Stochastic Volatility of the Information Process
  • Summary
  • Appendix.