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  • © 2004

Economic Foundation of Asset Price Processes

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Part of the book series: ZEW Economic Studies (ZEW, volume 24)

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Table of contents (8 chapters)

  1. Front Matter

    Pages I-XII
  2. Introduction

    • Erik Lüders
    Pages 1-3
  3. The Information Process

    • Erik Lüders
    Pages 15-24
  4. Literature Review

    • Erik Lüders
    Pages 25-48
  5. Analytical Asset Price Processes

    • Erik Lüders
    Pages 65-80
  6. Summary

    • Erik Lüders
    Pages 87-88
  7. Back Matter

    Pages 89-121

About this book

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.

Authors and Affiliations

  • Dépt. de Finance et Assurance Pavillon Palais-Prince, Université Laval, Québec (Québec), Canada

    Erik Lüders

Bibliographic Information

  • Book Title: Economic Foundation of Asset Price Processes

  • Authors: Erik Lüders

  • Series Title: ZEW Economic Studies

  • DOI: https://doi.org/10.1007/978-3-7908-2660-9

  • Publisher: Physica Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2004

  • Softcover ISBN: 978-3-7908-0149-1Published: 03 February 2004

  • eBook ISBN: 978-3-7908-2660-9Published: 06 December 2012

  • Series ISSN: 1615-6781

  • Series E-ISSN: 1867-2027

  • Edition Number: 1

  • Number of Pages: XII, 121

  • Number of Illustrations: 8 b/w illustrations

  • Topics: Finance, general, Quantitative Finance, Econometrics

Buy it now

Buying options

eBook USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access