This paper introduces a simulation model extending the well known Capital Asset Pricing Model by Sharpe and Lintner. Investors are modeled as multi-period forward looking portfolio optimizers. However, the future is not known \emph{a priori}, but has to be modeled and estimated. We allow agents to use past price information to forecast the future of asset returns, but with possibly different econometric forecasting techniques and different data sets. We use Microscopic Simulations to investigate the effects on equilibrium asset prices and on returns over an extended time period in a temporary equilibrium context. We show that models of this kind can reproduce key features of asset returns found in real life
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.