Expectations Models of Asset Prices: A Survey of Theory

Keywords

Economics, Martingale (probability theory), Futures contract, Asset (computer security), Certainty

References

• Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in DividendsRobert J. Shiller — 1980
• Short-Term Interest Rates as Predictors of InflationEugene F. Fama — 1975
• On the Impossibility of Informationally Efficient MarketsSanford J. Grossman — 1980
• Consensus Beliefs, Information Acquisition, and Market Information EfficiencyRobert E. Verrecchia — 1980
• Securities Market Efficiency in an Arrow-Debre EconomyMark Rubinstein — 1973
• The Determinants of the Variability of Stock Market PricesSanford J. Grossman, Robert J. Shiller — 1980
• Proof That Properly Discounted Present Values of Assets Vibrate RandomlyPaul A. Samuelson — 1973
• The determination of stock pricesStephen F. LeRoy — 1971
• Expectations Models of the Term Structure and Implied Variance BoundsKenneth J. Singleton — 1980
• A Re‐examination of Traditional Hypotheses about the Term Structure of Interest RatesJohn C. Cox, Jonathan E. Ingersoll, Stephen A. Ross — 1981
• The Structure of the Cost of Capital under UncertaintyAvraham Beja — 1971
• The relation between forward prices and futures pricesJohn C. Cox, Jonathan E. Ingersoll, Stephen A. Ross — 1981
• The Analysis of World Events and Stock PricesVictor Niederhoffer — 1971
• Risk Aversion and the Martingale Property of Stock PricesStephen F. LeRoy — 1973
• Risk aversion with many commoditiesRichard E. Kihlstrom, Leonard J. Mirman — 1974
• An Estimate of the Liquidity PremiumJ. Huston McCulloch — 1975
• Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3Robert C. Merton — 1971
• Rational Expectations and the Term Structure of Interest RatesThomas J. Sargent — 1972
• Futures Trading, Rational Expectations, and the Efficient Markets HypothesisMargaret Bray — 1981
• The arbitrage theory of capital asset pricingStephen A. Ross — 1976

Cited by

• Le sentiment de marché : mesure et interêt pour la gestion d'actifsA. Frugier — 2011
• The Vulnerability of Price Stabilization Schemes to Speculative AttackStephen W. Salant — 1982
• Supply disruptions and the allocation of emergency reservesClas Bergström — 1985
• The Time Series Behavior of Intradaily Stock Prices.John Hatem — 1990
• Informational efficiency in speculative markets : a theoretical investigationHans-Michael Geiger — 1989
• Analyse comparée des caractéristiques économétriques de trois marchés des actions en Asie : Chine, Inde et JaponSophie Nivoix, Prateek Gupta — 2014
• Interest rates and economic announcementsGerald P. Dwyer, R. W. Hafer — 1989
• CAPM and DCF: Does SML Relationship Gives Cost of Equity? – Ex-Ante Stock Returns are Not Same as Implied Discount RatesNarayanaswamy Murugesan — 2013
• Prévisibilité des rentabilités boursièresChristine Stachowiak — 2004
• The Effects of Inflation-Induced Tax Increases on Stock and Housing Prices*Thomas F. Cooley, Kevin D. Salyer — 1987
• Secular Mean Reversion and Long-Run Predictability of the Stock MarketValeriy Zakamulin — 2015
• The October crash: some evidence on the cascade theoryG.J. Santoni — 1988
• The Expectations Theory of the Term Structure and Short-term Interest Rates in AustraliaWarren Tease — 1986
• The great bull markets 1924-29 and 1982-87: speculative bubbles or economic fundamentals?G.J. Santoni — 1987
• Conventions and the stock market gameMassimo. Fuggetta, Fuggetta, Massimo — 1991
• Randomized unit root processes for modelling and forecasting financial time series: Theory and applicationsStephen J. Leybourne, Brendan McCabe, Terence C. Mills — 1996
• Price dynamics in foreign currency futures marketsKenneth L. Cavanaugh — 1987
• Nonlinear Mean-Reversion in Stock PricesTuran G. Bali, K. Özgür Demirtaş, Haim Levy — 2008
• Trade announcements, exchange rates, and interest ratesKeivan Deravi, Philip Gregorowicz, Charles E. Hegji — 1992
• Information content of prior period mutual fund performance rankingsDavid A. Sauer — 1997

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