Title of article
Expectation revisions and jumps in asset prices
Author/Authors
Hans Dewachter، نويسنده , , Dirk Veestraeten، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
6
From page
367
To page
372
Abstract
When fundamentals follow a Markov switching process asset prices must jump when agents revise their inferences about the active regime. We estimate the jump size accompanying regime switches in the fundamental for the NYSE Composite Index and various individual stocks
Keywords
Jumps , Asset prices , Expectation revisions , Markov switching
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434574
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