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Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model

Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model

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FRANKE, Günter, Erik LÜDERS, 2006. Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model

@techreport{Franke2006Retur-12106, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model}, year={2006}, number={2006/05}, author={Franke, Günter and Lüders, Erik} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/12106"> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12106"/> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dc:creator>Lüders, Erik</dc:creator> <dcterms:title>Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model</dcterms:title> <dc:rights>deposit-license</dc:rights> <dc:contributor>Franke, Günter</dc:contributor> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:43Z</dcterms:available> <dcterms:issued>2006</dcterms:issued> <dc:contributor>Lüders, Erik</dc:contributor> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:42:43Z</dc:date> <dc:creator>Franke, Günter</dc:creator> <dc:format>application/pdf</dc:format> <dc:language>eng</dc:language> <dcterms:abstract xml:lang="eng">This paper presents a simple rational expectations model of intertemporal asset pricing. It shows that state-independent 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> </rdf:Description> </rdf:RDF>

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