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Economic Foundation of Asset Price Processes : Zew Economic Studies - Erik Luders

Economic Foundation of Asset Price Processes

Zew Economic Studies

Paperback Published: 1st March 2004
ISBN: 9783790801491
Number Of Pages: 121

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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 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.

Introductionp. 1
Arbitrage-free markets and the pricing kernelp. 5
The information processp. 15
Literature reviewp. 25
Asset returns with non-constant elasticity of the pricing kernelp. 49
Analytical asset price processesp. 65
Asset returns given stochastic volatility of the information processp. 81
Summaryp. 87
A : Appendixp. 89
B : Appendix : figuresp. 103
Referencesp. 113
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783790801491
ISBN-10: 3790801496
Series: Zew Economic Studies : Book 24
Audience: General
Format: Paperback
Language: English
Number Of Pages: 121
Published: 1st March 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.39 x 16.03  x 0.84
Weight (kg): 0.2
Edition Number: 2