Intertemporal Dynamics of Asset Prices

Woongki Lee
Additional contact information
Woongki Lee: Yonsei University

No pjhau_v1, SocArXiv from Center for Open Science

Abstract: A basic intuition in asset pricing is that higher perceived risk is associated with higher expected return. Yet this intuition alone does not fully explain how expected return is translated into realized return. An important link is therefore still missing. To address that gap, this study moves beyond the static risk-return tradeoff and focuses on three intertemporal elements: information processing, repricing in response to revisions in perceived risk, and hedging against future reinvestment risk. By bringing these elements together, the study explains how asset prices evolve over time and how returns take shape over time.

Date: 2026-08-05
References: Add references at CitEc
Citations:

Downloads: (external link)
https://osf.io/download/6a6f9b1f68f44c4139bc8d21/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:pjhau_v1

DOI: 10.31235/osf.io/pjhau_v1

Access Statistics for this paper

More papers in SocArXiv from Center for Open Science
Bibliographic data for series maintained by OSF ().