How do investors' expectations drive asset prices?

Lüders, Erik ; Peisl, Bernhard

dp0115.pdf - Published

Download (413kB)

URN: urn:nbn:de:bsz:180-madoc-4997
Document Type: Working paper
Year of publication: 2001
The title of a journal, publication series: None
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C69 G12 ,
Subject headings (SWD): Stochastische Abhängigkeit , Kommunikation
Abstract: 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.
Additional information:

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.

Metadata export


+ Search Authors in

+ Download Statistics

Downloads per month over past year

View more statistics

You have found an error? Please let us know about your desired correction here: E-Mail

Actions (login required)

Show item Show item