English, Article, Journal or magazine article edition: General Properties of Rational Stock-Market Fluctuations Antonio Mele

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Bookmark: http://trove.nla.gov.au/version/45182
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • General Properties of Rational Stock-Market Fluctuations
Author
  • Antonio Mele
Physical Description
  • preprint
Notes
  • Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations ? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly general class of long-lived asset pricing models. These conditions solely affect the first primitives of the economy (probabilistic descriptions of the world, information structures, and preferences). They thus remove some of the arbitrariness related to the specification of theoretical models involving unobserved variables, state-dependent preferences, and incomplete markets.
  • RePEc:fmg:fmgdps:dp489
  • Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations ? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly general class of long-lived asset pricing models. These conditions solely affect the first primitives of the economy (probabilistic descriptions of the world, information structures, and preferences). They thus remove some of the arbitrariness related to the specification of theoretical models involving unobserved variables, nonadditive preferences, and incomplete markets
  • pricing kernel restrictions, convexity, equilibrium volatility
  • RePEc:ecm:nasm04:223
Language
  • English
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