股票市场波动和数学预期

ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-09-14 DOI:10.2139/ssrn.3453911

Robert James

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引用次数: 0

摘要

人们普遍认为，股市的过度波动反映了由“非理性繁荣”或“动物精神”驱动的非数学市场预期。如本文所示，还有另一种解释。如果在不同的随机过程中计算事前和事后预期，则不确定性可能导致数学市场预期比其基本面更不稳定。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Stock Market Volatility and Mathematical Expectations

It is generally believed that excessive stock market volatility reflects non-mathematical market expectations that are driven by “irrational exuberance” or “animal spirits”. As shown in this paper, there is an alternative explanation. If ex-ante and ex-post expectations are calculated in different stochastic processes, uncertainty can cause mathematical market expectations to be more volatile than their fundamentals.

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ERN: Other Econometrics: Mathematical Methods & Programming (Topic)

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