Empirical Implications of Arbitrage-Free Asset Markets

The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed.

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Year of publication:	1992-01
Authors:	Maheswaran, S. ; Sims, Christopher A.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Asset market \| asset pricing

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Peter C.B. Phillips (ed.), Models, Methods and Applications of Econometrics, Basil Blackwell, 1993 The price is None Number 1008 32 pages
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762776