English, Article, Journal or magazine article edition: Equilibrium Correlation of Asset Price and Return Charles Ka Yui Leung

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Bookmark: http://trove.nla.gov.au/version/72567
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Equilibrium Correlation of Asset Price and Return
Author
  • Charles Ka Yui Leung
Physical Description
  • preprint
Notes
  • RePEc:chk:cuhked:_175
  • Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This paper complements the literature by building a simple dynamic general equilibrium with fully rational agents, and obtain closed form solutions for the implied auto- and cross-correlations. The length of time horizon, as well as the persistence of economic shock matter. Implications and future research directions are then discussed.
  • rational expectation, price and return, serial and cross correlation, market efficiency, predictability
  • RePEc:chk:cuhkdc:00017
Language
  • English
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