Arbeitspapier
Why Are Asset Returns Predictable?
Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset returns [mean aversion and positively autocorrelated asset returns]. Under nonconstant elasticity of the pricing kernel financial ratios as the price-earnings ratio have predictive power for future asset returns. In addition, it is shown that asset prices will be governed by a time-homogeneous stochastic differential equation only under the constant elasticity pricing kernel. Hence, usually asset price processes do not satisfy the assumptions needed for empirical estimation.
- Sprache
-
Englisch
- Erschienen in
-
Series: ZEW Discussion Papers ; No. 02-48
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Pricing kernel
Diffusion processes
Stationarity
Predictability of asset returns
Autocorrelation
Kapitalertrag
Börsenkurs
Prognoseverfahren
Wertpapieranalyse
Kapitalmarkttheorie
Risikoaversion
Stochastischer Prozeß
Autokorrelation
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lüders, Erik
- Ereignis
-
Veröffentlichung
- (wer)
-
Zentrum für Europäische Wirtschaftsforschung (ZEW)
- (wo)
-
Mannheim
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lüders, Erik
- Zentrum für Europäische Wirtschaftsforschung (ZEW)
Entstanden
- 2002
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