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Introduction

  • Erik Lüders
Part of the ZEW Economic Studies book series (ZEW, volume 24)

Abstract

The behaviour of asset prices is still a challenge for empirical as well as for theoretical asset pricing Although there is a substantial body of theoretical literature, including the seminal Capital Asset Pricing Model, and of empirical research we still lack a sound understanding of what drives asset prices. Since the article of Black and Scholes in 1973 on the pricing of options the geometric Brownian motion might be considered the predominant model for the behaviour of stock prices However, there is compelling empirical evidence against this model While some argue that empirical results are at odds with the paradigm of efficient markets others propose more flexible efficient market models which might explain certain characteristics of asset prices However, independent of the specific strand of literature the aim is to find models which can explain the empirically documented deviations from the standard asset pricing models.

Keywords

Asset Price Asset Return Capital Asset Price Model Geometric Brownian Motion Market Portfolio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Erik Lüders
    • 1
  1. 1.Dépt. de Finance et Assurance Pavillon Palais-PrinceUniversité LavalQuébec (Quebec)Canada

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