| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3106 |
| 来源ID | Working Paper 3106 |
| An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices | |
| Alan J. Marcus | |
| 发表日期 | 1989-09-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | Apparent mean reversion and excess volatility in stock market prices can be reconciled with the Efficient Market Hypothesis by specifying investor preferences that give rise to the demand for portfolio insurance. Therefore, several supposed macro anomalies can be shown to be consistent with a rational market in a simple and parsimonious model of the economy. Unlike other models that have derived equilibrium mean reversion in prices, the model in this paper does not require that the production side of the economy exhibit mean reversion. It also predicts that mean reversion and excess volatility will differ substantially across subperiods. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w3106 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560384 |
| 推荐引用方式 GB/T 7714 | Alan J. Marcus. An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3106.pdf（159KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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