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Conditions for Myopic Valuation and Serial Independence of the Market Excess Return in Discrete Time Models

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  • Franke, Gunter

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  • Franke, Gunter, 1984. "Conditions for Myopic Valuation and Serial Independence of the Market Excess Return in Discrete Time Models," Journal of Finance, American Finance Association, vol. 39(2), pages 425-442, June.
    • Handle: RePEc:bla:jfinan:v:39:y:1984:i:2:p:425-42
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    Cited by:

    1. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
    2. Wenzelburger, Jan, 2020. "Mean-variance analysis and the Modified Market Portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
    3. Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel," Finance 9904004, University Library of Munich, Germany.
    4. Laitenberger, Jörg & Löffler, Andreas, 2002. "Capital Budgeting in Arbitrage-Free Markets," Hannover Economic Papers (HEP) dp-258, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel," CoFE Discussion Papers 99/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    6. Wolfgang Kürsten, 2002. "„Unternehmensbewertung unter Unsicherheit“, oder: Theoriedefizit einer künstlichen Diskussion über Sicherheitsäquivalent- und Risikozuschlagsmethode," Schmalenbach Journal of Business Research, Springer, vol. 54(2), pages 128-144, March.
    7. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
    8. Franke, Günter, 2000. "Gefahren kurzsichtigen Risikomanagements durch Value At Risk," CoFE Discussion Papers 00/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    9. James Huang, 2003. "Impact of Divergent Consumer Confidence on Option Prices," Review of Derivatives Research, Springer, vol. 6(3), pages 165-177, October.

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