Sunspots and predictable asset returns |
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Authors: | Edouard Challe |
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Affiliation: | Ente Luigi Einaudi, Via due Macelli 73, 00187 Rome, Italy |
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Abstract: | 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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Keywords: | D84 E44 G12 |
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