Sunspots and predictable asset returns

• 成果类型: Article
• 署名作者: Challe, E
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00253-9
• 发表日期: 2004
• 页码: 182-190
• 关键词: Return predictability; sunspots; cointegration

摘要

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. (C) 2003 Elsevier Inc. All rights reserved.