Econometrica, 2005-05, Vol.73 (3), p.961-982
2005
Details
- Autor(en) / Beteiligte
- Titel
- Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
- Ist Teil von
- Econometrica, 2005-05, Vol.73 (3), p.961-982
- Ort / Verlag
- Oxford, UK and Boston, USA: Blackwell Publishing Ltd
- Erscheinungsjahr
- 2005
- Link zum Volltext
- Quelle
- Wiley Online Library All Journals
- Beschreibungen/Notizen
- We present a new method for solving asset pricing models, which yields an analytic price-dividend function of one state variable. To illustrate our method we give a detailed analysis of Abel's asset pricing model. A function is analytic in an open interval if it can be represented as a convergent power series near every point of that interval. In addition to allowing us to solve for the exact equilibrium price-dividend function, the analyticity property also lets us assess the accuracy of any numerical solution procedure used in the asset pricing literature.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0012-9682eISSN: 1468-0262DOI: 10.1111/j.1468-0262.2005.00600.xTitel-ID: cdi_proquest_miscellaneous_38078008
- Format
- –
- Schlagworte
- Analyticity, Applications, asset pricing, Asset valuation, CAPM, Coefficients, Comparative analysis, Differential equations, Dividends, Economic models, Economic theory, Error rates, Exact sciences and technology, Financial economics, Gaussian quadratures, Insurance, economics, finance, Mathematical functions, Mathematical methods, Mathematical models, Mathematical procedures, Mathematics, Methodology, Methods, Modeling, Modelling, Notes and Comments, numerical analysis, Prices, Probability and statistics, Sciences and techniques of general use, solving, Standard deviation, Statistical models, Statistics, Stock returns, Studies