Published August 30, 2017
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Asset Prices in a Speculative Market
- Creators
-
Bossaerts, Peter
Abstract
The stochastic properties of prices in a speculative market are investigated. Agents in the market start with different priors, but update in a rational (i.e., Bayesian) way from realizations of payoffs on the risky asset. Convergence of the equilibrium price to the rational expectations price is investigated, as well as the asymptotic properties of two standard tests of rational expectations. The results are contrasted with stylized facts from forward markets.
Additional Information
I am very grateful to Mahmoud El-Gamal for insisting that I think differently about asset pricing. Whereas Mahmoud is not to blame for any mistake, he certainly is to be credited for the inspiration.Attached Files
Submitted - sswp796.pdf
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sswp796.pdf
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Additional details
- Eprint ID
- 80922
- Resolver ID
- CaltechAUTHORS:20170829-145747905
- Created
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2017-08-30Created from EPrint's datestamp field
- Updated
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2019-10-03Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 796