A martingale characterization of equilibrium asset price processes
AbstractBick (1987,1990) and He and Leland (1993) demonstrated that not every arbitrage-free Markovian diffusion price process is consistent with an equilibrium approach. We propose a unified framework for these results and we derive a new martingale characterization of equilibrium.
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 15 (2000)
Issue (Month): 1 ()
Note: Received: November 4, 1997; revised version: June 10, 1998
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Web page: http://link.springer.de/link/service/journals/00199/index.htm
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management qt1s25177n, Anderson Graduate School of Management, UCLA.
- Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Günter Franke & Erik Lüders, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Paper 04-05, Center of Finance and Econometrics, University of Konstanz.
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