Uncertainty, Expectations and Asset Price Dynamics
Essays in Honor of Georges Prat
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Beschreibung
Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Discusses irrational expectations Evaluates expectation processes for asset price forecasts Analyzes asset price fundamentals Proposes new tests for bubbles
Autor*in
Fredj Jawadi
Themen in »Uncertainty, Expectations and Asset Price Dynamics«
Rational expectations Uncertainty Asset price dynamics Nonlinearity Bubbles Macroeconomic aggregates Oil market volatility Commodity prices Heterogeneous beliefs Informational uncertainty International portfolio flows High-frequency trading quantitative finance financial crises