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University of Illinois at Urbana-Champaign
Rational Expectations, Supply Effect, and Stock Price Adjustment Process: A Simultaneous Equations System Approach
Abstract
dc:descriptionThe capital asset pricing model of Sharpe (1964), Lintner (1965), and Mossin (1966) is a single-period equilibrium analysis in which the behavior of security demand, conditional upon a postulated probability distribution of returns, is examined. Thus the model is too restrictive in its omission of multiperiod price behavior, its assumption of exogenously given expected returns, and its neglect of the supply side.
Degree
thesis:*- Name thesis:degree_name
- Ph.D.
- Level thesis:degree_level
- Dissertation
- Discipline thesis:degree_discipline
- Finance
- Grantor
- University of Illinois at Urbana-Champaign
- Year dc:date
- 2014
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Gweon, Seong C.
Subjects
dc:subject × 1Identifiers
dc:identifier.*- Identifier
- (UMI)AAI8521777
- OAI identifier oai:identifier
- oai:www.ideals.illinois.edu:2142/71519