Publikation:

Return predictability and stock market crashes in a simple rational expectations model

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05_05.pdf
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2005

Autor:innen

Lüders, Erik

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-17807
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Zusammenfassung

This paper presents a simple rational expectations model of intertemporal asset pricing. It shows that heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in fundamentals so that asset prices may strongly decline. Changes in aggregate relative risk aversion may also lead to resistance and support levels as used in technical analysis. For numerical illustration we propose an analytical asset price formula.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Aggregate relative risk aversion, Equilibrium asset price processes, Return predictability, Stock market crashes, Excess Volatility

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ISO 690FRANKE, Günter, Erik LÜDERS, 2005. Return predictability and stock market crashes in a simple rational expectations model
BibTex
@techreport{Franke2005Retur-11919,
  year={2005},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Return predictability and stock market crashes in a simple rational expectations model},
  number={2005/05},
  author={Franke, Günter and Lüders, Erik}
}
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    <dcterms:abstract xml:lang="eng">This paper presents a simple rational expectations model of intertemporal asset pricing. It shows that heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in fundamentals so that asset prices may strongly decline. Changes in aggregate relative risk aversion may also lead to resistance and support levels as used in technical analysis. For numerical illustration we propose an analytical asset price formula.</dcterms:abstract>
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