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Asset Prices in a Speculative Market

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 (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20170829-145747905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)
ORCID:
AuthorORCID
Bossaerts, Peter0000-0003-2308-2603
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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