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| Main Author: | |
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| Format: | Preprint |
| Published: |
2022
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2204.07506 |
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| _version_ | 1866909147124989952 |
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| author | Olkhov, Victor |
| author_facet | Olkhov, Victor |
| contents | This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price "to-day," mean payoff "next-day," price and payoff volatilities, and price and payoff autocorrelations. The deep conjunction of the consumption-based model with other versions of asset pricing, such as ICAPM, APM, etc. (Cochrane, 2001), emphasizes that our results are valid for other pricing models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2204_07506 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model Olkhov, Victor General Economics Economics Pricing of Securities This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price "to-day," mean payoff "next-day," price and payoff volatilities, and price and payoff autocorrelations. The deep conjunction of the consumption-based model with other versions of asset pricing, such as ICAPM, APM, etc. (Cochrane, 2001), emphasizes that our results are valid for other pricing models. |
| title | Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model |
| topic | General Economics Economics Pricing of Securities |
| url | https://arxiv.org/abs/2204.07506 |