haku: @author David, A. / yhteensä: 2
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| Tekijä: | David, A. |
| Otsikko: | Fluctuating confidence in stock markets: implications for returns and volatility |
| Lehti: | Journal of Financial and Quantitative Analysis
1997 : DEC, VOL. 32:4, p. 427-462 |
| Asiasana: | STOCK MARKETS VOLATILITY FINANCE |
| Kieli: | eng |
| Tiivistelmä: | The average relative profitability of different firms in the economy jumps erratically. Although investors are unable to observe these productivity switches, they continuously update their beliefs regarding high and low productivity firms by observing the total return on each firm, which consists of the average productivity plus noise. The portfolio choices, interest rate, and stock return processes are derived in a Cox-Ingersoll-Ross (1958a) style general equilibrium model. |
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