Variance Bounds in a Simple Model of Asset Pricing
Bibliographic Data
| ID | 10178016 |
|---|---|
| Authors | Ronald W Michener (0000-0003-2766-2517, corresponding author) |
| Year | 1982 |
| Volume | 90 |
| Issue | 1 |
| Pages | 166-175 |
| Publication date | 1982-02-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/261045 |
| OpenAlex | W1976413713 |
| Language | EN |
| Citations received | 2 |
| References cited | 4 |
This paper presents a parametric example of a one-asset exchange economy in which the asset price is endogenously determined. It is demonstrated that the volatility of the asset's price uniformly violates the theoretical upper bound implied by the present value relation. In addition, the variance bounds may be violated by a significant margin at the same time the asset's price is almost a random walk. The example has a dual interpretation as a consumption function, and under this interpretation it is demonstrated that the permanent-income hypothesis does not necessarily restrict the time-series properties of consumption
Arbitrage pricing theory · Asset (computer security · Basis risk · Capital asset pricing model · Consumption (sociology · Consumption-based capital asset pricing model · Econometrics · Economics · Margin (machine learning · Mathematical economics · Microeconomics · Parametric statistics · Random walk · Statistics · Upper and lower bounds · Variance (accounting · Volatility (finance · Complex Systems and Time Series Analysis · Computer Science · Economic theories and models · Mathematics · Monetary Policy and Economic Impact
| Citations per year | 0.05 |
|---|---|
| Citation span | 1983 - 1986 (4) |
| Highly cited | No |