Please use this identifier to cite or link to this item:
http://hdl.handle.net/20.500.11861/6503
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Prof. YEUNG Wing Kay, David | en_US |
dc.date.accessioned | 2021-03-06T15:44:13Z | - |
dc.date.available | 2021-03-06T15:44:13Z | - |
dc.date.issued | 2002 | - |
dc.identifier.citation | In Zaccour, G. (ed.) (2002). Decision & control in management science (pp. 221-238). Berlin: Springer. | en_US |
dc.identifier.isbn | 9781441949950 | - |
dc.identifier.isbn | 9781475735611 | - |
dc.identifier.uri | http://hdl.handle.net/20.500.11861/6503 | - |
dc.description.abstract | Recent research has uncovered empirical patterns in financial markets which are difficult to explain in terms of conventional asset pricing models. A variety of methods have been published, under which financial asset returns can be predicted on the basis of publicly available information. This paper presents a framework for the rational pricing of financial assets and derives a tractable price dynamics which incorporates relevant observable market information. In particular, the standard dynamics is generalised by linking asset price to earnings. An asset market populated by two groups of individuals — short holding-term (short-horizon) traders and long holding-term (long-horizon) traders — is modelled. The groups vary in size as market conditions change, and it is shown that rational trading produces an equilibrium price dynamics which is tied to earnings and the rate of interest. The equilibrium is consistent in the sense that it is not possible to garner above-normal expected return through adroit speculation. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Berlin: Springer | en_US |
dc.title | Equilibrium asset price dynamics with holding-term switching | en_US |
dc.type | Book Chapter | en_US |
dc.identifier.doi | 10.1007/978-1-4757-3561-1_12 | - |
item.fulltext | No Fulltext | - |
crisitem.author.dept | Department of Economics and Finance | - |
Appears in Collections: | Economics and Finance - Publication |
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