How do investors' expectations drive asset prices?



References

[1] Bick, Avi (1987), On the Consistency of the Black-Scholes Model with a
General Equilibrium Framework, Journal of Financial and Quantitative
Analysis 22, 259-275.

[2] Bick, Avi (1990), On Viable Diffusion Price Processes of the Market
Portfolio; Journal of Finance 45, 673-689.

[3] Campbell, John Y. and Hentschel, Ludger (1992), No news is good news:
An Asymmetric Model of Changing Volatility in Stock Returns, Journal
of Financial Economics, 31, 281-318.

[4] Canina, Linda and Figlewski, Stephen (1993), The Informational Con-
tent of Implied Volatility, Review of Financial Studies, Vol. 6, No. 3,
659-681.

[5] David, Alexander (1997), Fluctuating Confidence in Stock Markets: Im-
plications for Returns and Volatility, Journal of Financial and Quanti-
tative Analysis, 32 (4), 427-462.

[6] Decamps, J. P. and Lazrak A. (2000), A Martingale Characterization of
Equilibrium Asset Price Processes, Economic Theory 15 (1), 207-213.

[7] Ederington, Louis H. and Lee, Jae Ha (1993), How Markets Process
Information: News Releases and Volatility, Journal of Finance 48 (4).

[8] El Karoui, N.; Peng, S. and Quenez, M. C. (1997), Backward stochastic
differential equations in finance, Mathematical Finance, Vol.7, No.1, 1-
71.

[9] Fama, Eugene F. and French, Kenneth R. (1988), Permanent and Tem-
porary Components of Stock Prices, Journal of Political Economy 96
(2), 246-73.

[10] Follmer, Hans and Schweizer, Martin (1991), Hedging of Contingent
Claims under Incomplete Information, Applied Stochastic Analysis, Vol.
5, 389-414.

[11] Franke, Ghnter; Stapleton, Richard C. and Subrahmanyam, Marti G.
(1998), Who Buys and Who Sells Options, The Role of Options in an

25



More intriguing information

1. BODY LANGUAGE IS OF PARTICULAR IMPORTANCE IN LARGE GROUPS
2. BEN CHOI & YANBING CHEN
3. The value-added of primary schools: what is it really measuring?
4. MULTIMODAL SEMIOTICS OF SPIRITUAL EXPERIENCES: REPRESENTING BELIEFS, METAPHORS, AND ACTIONS
5. Large Scale Studies in den deutschen Sozialwissenschaften:Stand und Perspektiven. Bericht über einen Workshop der Deutschen Forschungsgemeinschaft
6. The name is absent
7. The name is absent
8. The name is absent
9. Existentialism: a Philosophy of Hope or Despair?
10. The name is absent