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- W2096494844 abstract "Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset returns [mean aversion and positively autocorrelated asset returns]. Under nonconstant elasticity of the pricing kernel financial ratios as the price-earnings ratio have predictive power for future asset returns. In addition, it is shown that asset prices will be governed by a time-homogeneous stochastic differential equation only under the constant elasticity pricing kernel. Hence, usually asset price processes do not satisfy the assumptions needed for empirical estimation." @default.
- W2096494844 created "2016-06-24" @default.
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- W2096494844 date "2002-01-01" @default.
- W2096494844 modified "2023-09-27" @default.
- W2096494844 title "Why Are Asset Returns Predictable?" @default.
- W2096494844 doi "https://doi.org/10.2139/ssrn.321001" @default.
- W2096494844 hasPublicationYear "2002" @default.
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