In a continuous-time representative investor economy with an exogenously given information process, asset prices are derived for alternative characterizations of the pricing kernel. In addition to the characterization of forward prices in a general representative investor economy a detailed...

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

Asset price processes are completely described by information processes and investors´ preferences. In this paper we derive the relationship between the process of investors´ expectations of the terminal stock price and asset prices in a general continous time pricing kernel framework. To...

Asset price processes are completely described by information processes and investor´s preferences. In this paper we derive the relationship between the process of investor´s expectations ofthe terminal stock price and asset prices in a general continuous time pricing kernel framework. To...

Asset price processes are completely described by information processes and investors´ preferences. In this paper we derive the relationship between the process of investors´ expectations of the terminal stock price and asset prices in a general continous time pricing kernel framework. To...

Asset price processes are completely described by information processes and investor´s preferences. In this paper we derive the relationship between the process of investor's expectations ofthe terminal stock price and asset prices in a general continuous time pricing kernel framework. To...