Details

Autor(en) / Beteiligte

• LEROY, STEPHEN F.

Titel

Expectations Models of Asset Prices: A Survey of Theory

Ist Teil von

• The Journal of finance (New York), 1982-03, Vol.37 (1), p.185-217

Ort / Verlag

Oxford, UK: Blackwell Publishing Ltd

Erscheinungsjahr

1982

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• This paper identifies restrictions on preferences under which various classes of "expectations" theories of asset prices--i.e., uncertainty models of asset prices which coincide with the corresponding certainty theory except that expected future prices replace actual future prices--are valid. Major classes of expectations models surveyed are martingale models, the expectations hypothesis of the term structure of interest rates, and models of exhaustible resources and futures markets. In each case the required restriction is related to the assumption of risk-neutrality, but the precise nature of the required restriction is shown to differ significantly among the various classes of expectations theories.