| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w0489
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| 来源ID | Working Paper 0489
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| Martingale-Like Behavior of Prices |
| Christopher A. Sims
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| 发表日期 | 1980-06-01
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| 出版年 | 1980
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| 语种 | 英语
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| 摘要 | Asset prices set in a competitive market need not be martingales; that is, it need not be true that the best predictor of future prices is the current price. Nonetheless, statistical tests for this property are sometimes treated as tests for the proper functioning of an asset market; asset prices often seem to have the property to a close approximation, and it is sometimes supposed that the martingale ought to be imposed on econometric models of asset markets and forecasts made from them. This paper shows that under general conditions, which allow among other things for risk aversion among market participants, competitive asset prices ought to be locally -- over small units of time -- martingale-like. This implies that tests of proper functioning of the market ought to be conducted with data at fine time intervals; results of such tests should not be used to justify imposing the martingale property on a model's long-term projections of asset prices. |
| URL | https://www.nber.org/papers/w0489
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557676
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推荐引用方式
GB/T 7714 |
Christopher A. Sims. Martingale-Like Behavior of Prices. 1980.
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文件名：
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w0489.pdf
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格式：
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Adobe PDF
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