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dc.contributor.authorFranke, Günteren_US
dc.contributor.authorLüders, Eriken_US
dc.date.accessioned2009-01-29T16:29:54Z-
dc.date.available2009-01-29T16:29:54Z-
dc.date.issued2004en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-17565-
dc.identifier.urihttp://hdl.handle.net/10419/23567-
dc.description.abstractThis paper analyzes the e¤ect of non-constant elasticity of the pricing kernel on asset return characteristics in a rational expectations model. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also, declining elasticity helps to motivate technical analysis and to explain stock market crashes. Moreover, based on a general characterization of the pricing kernel, we propose analytical asset price processes which can be tested empirically. The numerical analysis reveals strong deviations from the geometric Brownian motion which are caused by declining elasticity of the pricing kernel.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesDiscussion paper series / Universität Konstanz, Center of Finance and Econometrics (CoFE) 04/05en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordPricing Kernelen_US
dc.subject.keywordViable asset price processesen_US
dc.subject.keywordSerial correlationen_US
dc.subject.keywordHeteroskedasticityen_US
dc.subject.keywordStock market crashesen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwWertpapieranalyseen_US
dc.subject.stwKapitalmarkttheorieen_US
dc.subject.stwRisikoaversionen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwAutokorrelationen_US
dc.subject.stwTheorieen_US
dc.titleWhy Do Asset Prices Not Follow Random Walks?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn477676480en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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