Economic Foundation of Asset Price Processes:
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 seria...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Heidelberg
Physica-Verlag HD
2004
|
| Ausgabe: | 1st ed. 2004 |
| Schriftenreihe: | ZEW Economic Studies
24 |
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 Online-Ressource (XII, 121 p. 8 illus) |
| ISBN: | 9783790826609 |
| DOI: | 10.1007/978-3-7908-2660-9 |
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| discipline | Informatik Mathematik Wirtschaftswissenschaften |
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| doi_str_mv | 10.1007/978-3-7908-2660-9 |
| edition | 1st ed. 2004 |
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| index_date | 2024-07-03T15:15:39Z |
| indexdate | 2024-07-10T08:56:12Z |
| institution | BVB |
| isbn | 9783790826609 |
| language | English |
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| spelling | Lüders, Erik Paul Verfasser aut Economic Foundation of Asset Price Processes by Erik Paul Lüders 1st ed. 2004 Heidelberg Physica-Verlag HD 2004 1 Online-Ressource (XII, 121 p. 8 illus) txt rdacontent c rdamedia cr rdacarrier ZEW Economic Studies 24 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. Finance, general Quantitative Finance Econometrics Finance Economics, Mathematical Kursschwankung (DE-588)4277086-5 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Wertpapier (DE-588)4065674-3 gnd rswk-swf Börsenkurs (DE-588)4375974-9 gnd rswk-swf Schätzung (DE-588)4193791-0 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalmarkttheorie (DE-588)4137411-3 s Börsenkurs (DE-588)4375974-9 s Stochastischer Prozess (DE-588)4057630-9 s Schätzung (DE-588)4193791-0 s DE-604 Wertpapier (DE-588)4065674-3 s Kursschwankung (DE-588)4277086-5 s Ökonometrie (DE-588)4132280-0 s Erscheint auch als Druck-Ausgabe 9783790801491 Erscheint auch als Druck-Ausgabe 9783790826616 https://doi.org/10.1007/978-3-7908-2660-9 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Lüders, Erik Paul Economic Foundation of Asset Price Processes Finance, general Quantitative Finance Econometrics Finance Economics, Mathematical Kursschwankung (DE-588)4277086-5 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Wertpapier (DE-588)4065674-3 gnd Börsenkurs (DE-588)4375974-9 gnd Schätzung (DE-588)4193791-0 gnd Ökonometrie (DE-588)4132280-0 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd |
| subject_GND | (DE-588)4277086-5 (DE-588)4057630-9 (DE-588)4065674-3 (DE-588)4375974-9 (DE-588)4193791-0 (DE-588)4132280-0 (DE-588)4137411-3 (DE-588)4113937-9 |
| title | Economic Foundation of Asset Price Processes |
| title_auth | Economic Foundation of Asset Price Processes |
| title_exact_search | Economic Foundation of Asset Price Processes |
| title_exact_search_txtP | Economic Foundation of Asset Price Processes |
| title_full | Economic Foundation of Asset Price Processes by Erik Paul Lüders |
| title_fullStr | Economic Foundation of Asset Price Processes by Erik Paul Lüders |
| title_full_unstemmed | Economic Foundation of Asset Price Processes by Erik Paul Lüders |
| title_short | Economic Foundation of Asset Price Processes |
| title_sort | economic foundation of asset price processes |
| topic | Finance, general Quantitative Finance Econometrics Finance Economics, Mathematical Kursschwankung (DE-588)4277086-5 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Wertpapier (DE-588)4065674-3 gnd Börsenkurs (DE-588)4375974-9 gnd Schätzung (DE-588)4193791-0 gnd Ökonometrie (DE-588)4132280-0 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd |
| topic_facet | Finance, general Quantitative Finance Econometrics Finance Economics, Mathematical Kursschwankung Stochastischer Prozess Wertpapier Börsenkurs Schätzung Ökonometrie Kapitalmarkttheorie Hochschulschrift |
| url | https://doi.org/10.1007/978-3-7908-2660-9 |
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