How do investors' expectations drive asset prices? / Erik Lüders and Bernhard Peisl

By: Contributor(s): Resource type: Ressourcentyp: BuchBookLanguage: English Series: Discussion paper ; 01-15 : International finance and financial managementPublisher: Mannheim : ZEW, [2001]Description: 27 SSubject(s): Genre/Form: Additional physical formats: Erscheint auch als: How do investors' expectations drive asset prices?. Online-Ausgabe Mannheim : ZEW, 2001. 1 Online-Ressource (circa 28 Seiten)Summary: Asset price processes are completely described by information processes and investors' preferences. In this paper we derive the relationship between the process of investors ́expectations of the terminal stock price and asset prices in a general continous time pricing kernel framework. To derive the asset price process we make use of the modern technique of forward-backward stochastic differential equations. With this approach it is possible to show the driving factors for stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that stylized facts that look at first hand like financial market anomalies may be explained by an information process with stochastic volatility.Call number: Grundsignatur: 2001 B 636PPN: PPN: 1160796335
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Magazinbestand ausleihbar Bibliothek Campus Süd Geschlossenes Magazin 2001 B 636 Available 44180872090
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