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Intertemporal Dynamics of Asset Prices

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  • Lee, Woongki

    (Yonsei University)

Abstract

A basic intuition in asset pricing is that higher perceived risk is associated with higher expected return. Yet this intuition alone does not fully explain how expected return is translated into realized return. An important link is therefore still missing. To address that gap, this study moves beyond the static risk-return tradeoff and focuses on three intertemporal elements: information processing, repricing in response to revisions in perceived risk, and hedging against future reinvestment risk. By bringing these elements together, the study explains how asset prices evolve over time and how returns take shape over time.

Suggested Citation

  • Lee, Woongki, 2026. "Intertemporal Dynamics of Asset Prices," SocArXiv pjhau_v1, Center for Open Science.
    • Handle: RePEc:osf:socarx:pjhau_v1
    DOI: 10.31235/osf.io/pjhau_v1
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    References listed on IDEAS

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