Empirical Implications of Arbitrage-Free Asset Markets

S. Maheswaran and Christopher Sims ()
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S. Maheswaran: Washington University

No 1008, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed.

Keywords: Asset market; asset pricing (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 1992-01
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