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Empirical Implications of Arbitrage-Free Asset Markets

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Abstract

The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed.

Suggested Citation

  • S. Maheswaran & Christopher A. Sims, 1992. "Empirical Implications of Arbitrage-Free Asset Markets," Cowles Foundation Discussion Papers 1008, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:1008
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    File URL: https://cowles.yale.edu/sites/default/files/files/pub/d10/d1008.pdf
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    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.

    More about this item

    Keywords

    Asset market; asset pricing;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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