| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3640 |
| 来源ID | Working Paper 3640 |
| Actual and Warranted Relations Between Asset Prices | |
| Andrea E. Beltratti; Robert J. Shiller | |
| 发表日期 | 1991-03-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do not imply that the covariances between prices equal the corresponding covariances of ex-post values. We present bounds for covariances and correlations of prices based on the covariance of ex-post values, and show how such bounds can be tightened using information about forecasting variables. The methods are used to examine the historical covariance between the U.S. and U.K. stock markers 1919-1989. The bounds on the covariance include the actual correlation. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w3640 |
| 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/560948 |
| 推荐引用方式 GB/T 7714 | Andrea E. Beltratti,Robert J. Shiller. Actual and Warranted Relations Between Asset Prices. 1991. |
| 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 | ||
| w3640.pdf（192KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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