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.
| Autorius: | Erik Paul Lüders |
| Serija: | ZEW Economic Studies |
| Leidėjas: | Physica-Verlag HD |
| Išleidimo metai: | 2004 |
| Knygos puslapių skaičius: | 136 |
| ISBN-10: | 3790801496 |
| ISBN-13: | 9783790801491 |
| Formatas: | Knyga minkštu viršeliu |
| Kalba: | Anglų |
| Žanras: | Econometrics and economic statistics |
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