Peso Problems: Their Theoretical and Empirical Implications
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
|Date of creation:||May 1995|
|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
When requesting a correction, please mention this item's handle: RePEc:ste:nystbu:95-05. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Viveca Licata)
If references are entirely missing, you can add them using this form.