This paper examines how the theoretical and empirical implications of asset pricing models are affected by the presence of a "peso problem"; a situation where the potential for discrete shifts in the distribution of future shocks to the economy affects the rational expectations held by market participants. The papaer examines the ways in which "peso problems" can induce behavior in asset prices that appartently contradicts conventional rational expectations assumptions. This analysis covers the relationship between realized and expected returns, asset prices and fundamentals, and the determination of risk premia.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by New York University, Leonard N. Stern School of Business, Department of Economics in its series Working Papers with number
95-05.
Length: Date of creation: May 1995 Date of revision: Handle: RePEc:ste:nystbu:95-05
Contact details of provider: Postal: New York University, Leonard N. Stern School of Business, Department of Economics, 44 West 4th Street, New York, NY 10012-1126 Phone: (212) 998-0860 Fax: (212) 995-4218 Web page: http://w4.stern.nyu.edu/economics/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Cecilia H. Aiello).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)