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Table of contents (8 chapters)
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Front Matter
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Back Matter
Keywords
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
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
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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