Sunspots and predictable asset returns

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.

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Year of publication:	2004-03
Authors:	Challe, Edouard
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Cointegration \| Return predictability \| Sunspots

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of Economic Theory, 2004, Vol. 115, no. 1. pp. 182-190.Length: 8 pages
Classification:	D84 - Expectations; Speculations ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010905155