| Economic Foundation of Asset Price Processes Softcover Repri Edition Contributor(s): Lüders, Erik Paul (Author) |
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ISBN: 3790801496 ISBN-13: 9783790801491 Publisher: Physica-Verlag OUR PRICE: $104.49 Product Type: Paperback Published: February 2004 Annotation: 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. |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Econometrics - Business & Economics | Economics - General |
| Dewey: 338.5 |
| LCCN: 2004268915 |
| Series: Zew Economic Studies |
| Physical Information: 0.33" H x 6.31" W x 9.21" (0.45 lbs) 121 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |