Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/23567 
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dc.contributor.authorFranke, Günteren
dc.contributor.authorLüders, Eriken
dc.date.accessioned2009-01-29T16:29:54Z-
dc.date.available2009-01-29T16:29:54Z-
dc.date.issued2004-
dc.identifier.piurn:nbn:de:bsz:352-opus-17565en
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
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x04/05en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordPricing Kernelen
dc.subject.keywordViable asset price processesen
dc.subject.keywordSerial correlationen
dc.subject.keywordHeteroskedasticityen
dc.subject.keywordStock market crashesen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwWertpapieranalyseen
dc.subject.stwKapitalmarkttheorieen
dc.subject.stwRisikoaversionen
dc.subject.stwStochastischer Prozessen
dc.subject.stwAutokorrelationen
dc.subject.stwTheorieen
dc.titleWhy Do Asset Prices Not Follow Random Walks?-
dc.typeWorking Paperen
dc.identifier.ppn477676480en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0405-

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