Bossaerts, Peter (1992) Asset Prices in a Speculative Market. Social Science Working Paper, 796. California Institute of Technology , Pasadena, CA. (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20170829-145747905
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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.
| Item Type: | Report or Paper (Working Paper) | ||||
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| 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. | ||||
| Group: | Social Science Working Papers | ||||
| Series Name: | Social Science Working Paper | ||||
| Issue or Number: | 796 | ||||
| Record Number: | CaltechAUTHORS:20170829-145747905 | ||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20170829-145747905 | ||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||
| ID Code: | 80922 | ||||
| Collection: | CaltechAUTHORS | ||||
| Deposited By: | Jacquelyn Bussone | ||||
| Deposited On: | 30 Aug 2017 17:37 | ||||
| Last Modified: | 03 Oct 2019 18:36 |
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