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3 edition of Lock-in of extrapolative expectations in an asset pricing model found in the catalog.

Lock-in of extrapolative expectations in an asset pricing model

Kevin J. Lansing

Lock-in of extrapolative expectations in an asset pricing model

  • 64 Want to read
  • 39 Currently reading

Published by Federal Reserve Bank of San Francisco in [San Francisco] .
Written in English

    Subjects:
  • Capital assets pricing model.,
  • Stock price forecasting -- Mathematical models.,
  • Rational expectations (Economic theory)

  • Edition Notes

    StatementKevin J. Lansing.
    SeriesFRBSF working paper ;, 2004-06, FRBSF working paper (Online) ;, 2004-06.
    Classifications
    LC ClassificationsHB1
    ID Numbers
    Open LibraryOL3477422M
    LC Control Number2005617122

    Five years after its release by Smithsonian Books in April , his best-selling book, Math and the Mona Lisa, has had numerous printings in English, and appeared in 13 languages. His last book, Leonardo’s Universe, co-authored with former student Keith Wamsley, was . v1 Nonfinancial Defined Contribution Pension Schemes in a Changing Pension World Nonfinancial Defined Contribution Pension Schemes in a Changing Pension World.  South Asia Economic Focus A Review of Economic Developments in South Asian Countries Food Inflation June South Asia Region THE WORLD BANK Washington, D.C. South. Upload Computers & electronics; Software; Encyclopaedia of Strategic Management: Concepts.


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Lock-in of extrapolative expectations in an asset pricing model by Kevin J. Lansing Download PDF EPUB FB2

Request PDF | On Oct 1,Kevin J. Lansing and others published Lock-in of Extrapolative Expectations in an Asset Pricing Model | Find, read and cite all the research you need on ResearchGate. lock-in of extrapolative expectations in an asset pricing model Article in Macroeconomic Dynamics 10(03) June with 18 Reads How we measure 'reads'.

Downloadable. This paper examines an agent's choice of forecast method within a standard asset pricing model. A representative agent may choose: (1) a fundamentals-based forecast that employs knowledge of the dividend process, (2) a constant forecast that is based on a simple long-run average, or (3) a time-varying forecast that extrapolates from the last observation.

Kevin Lock-in of extrapolative expectations in an asset pricing model book. Lansing, "Lock-in of extrapolative expectations in an asset pricing model," Working Paper SeriesFederal Reserve Bank of San Francisco, revised Handle: RePEc:fip:fedfwp   KEVIN J.

LANSING, LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL, Macroeconomic Dynamics, /S, 10, 03, (). Crossref Steven A. Sharpe, How Does the Market Interpret Analysts' Long-Term Growth Forecasts?, Journal of Accounting, Auditing & Finance, 20, 2, (), ().Cited by: KEVIN J.

LANSING, LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL, Macroeconomic Dynamics, /S, 10, 03, (). Crossref JIANPING MEI and MICHAEL MOSES, Vested Interest and Biased Price Estimates: Evidence from an Auction Market, The Journal of Finance, 60, 5, (), ().Cited by: ECONOMICS--Kevin Lansing: Lock-in of extrapolative expectations in an asset pricing model.

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Home» Finance. Capital asset pricing model (CAPM) An economic theory that describes the relationship between risk and expected return, and serves as a model for the pricing of risky securities. The CAPM asserts that the only risk that is priced by rational investors is systematic risk, because that risk cannot be eliminated by diversification.

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Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Ever since the CFA exams I have noticed a tendency for Wall Street research to deteriorate. A Gresham's Law appears to be operating. The articles like the white shoe one I mentioned are chock full of seemingly sapient stuff that are scientifically flawed amid reference to Shiller p/e data with their 10 year averaging and data when no earnings were reported etc.

This is essentially a carry-over from the Capital Asset Pricing Model (CAPM),3 which you do not really need to know much about for the purposes of this book. want to lock in the prices of.

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Lansing () has developed an asset pricing model where extrapolative expectations can generate excess volatility of stock prices, time-varying volatility of returns, long-horizon predictability of returns, bubbles driven by optimism about the future, and sharp downward movements in stock prices that resemble market crashes.

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