L'impact des changements de conjoncture sur l'évaluation des actifs financiers
In this paper, we stress the influence of forecasts about the real economy on financial behaviour, and more particularly on the equilibrium prices of financial assets. We adapt the Portfolio Model and the CAPM (Capital Assets Pricing Model) so as to introduce explicitly the process of expectation formation in an economy where there is real disequilibrium. In this theoretical framework we show that financial markets play a procyclical role via expectations.
Year of publication: |
1990
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Authors: | LICANDRO, Omar |
Published in: |
Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1990, 18, p. 91-111
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Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
Saved in:
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