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Economic Foundation of Asset Price Processes

Author: Erik Lüders
Publisher: Heidelberg : Physica-Verlag HD : Imprint : Physica, 2004.
Series: ZEW economic studies, 24.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Erik Lüders
ISBN: 9783790826609 379082660X
OCLC Number: 851371955
Description: 1 online resource (xii, 121 pages 8 illustrations).
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.
Series Title: ZEW economic studies, 24.
Responsibility: by Erik Lüders.

Abstract:

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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