MARKET RISK AND ASSET PRICES

被引：0
|
作者：
SMITH, RT
机构：
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1993年 / 17卷 / 04期
关键词：
D O I：
10.1016/0165-1889(93)90046-U
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the implications for the properties of asset prices of stochastic shifts in market demand which are not attributable to news about asset fundamentals. This introduces an additional component of uncertainty into asset price movements and alters the trading motives of agents. Market risk is shown to contribute to the risk premium on assets and exacerbates asset-price volatility.
引用
收藏
页码：555 / 569
页数：15
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