Sunspots and predictable asset returns
نویسنده
چکیده
This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile. Journal of Economic Literature Classi cation Numbers: D84, E44, G12
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ورودعنوان ژورنال:
- J. Economic Theory
دوره 115 شماره
صفحات -
تاریخ انتشار 2004