Economic Foundation of Asset Price Processes (ZEW Economic Studies, 24)
Language: English
Published by Physica, 2004
- Softcover
- New

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- Title
- Economic Foundation of Asset Price Processes (ZEW Economic Studies, 24)
- Author
- Lüders, Erik Paul
- Publisher
- Physica
- Publication year
- 2004
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 3790801496
- ISBN 13
- 9783790801491
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.
"Synopsis" may belong to another edition of this title.
From the Back Cover
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.
"About the title" may belong to another edition of this title.
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