L'impact des changements de conjoncture sur l'évaluation des actifs financiers

Omar Licandro ()

Annals of Economics and Statistics, 1990, issue 18, 91-111

Abstract: In this paper, we stress the influence of forecasts about the real economy on financial behaviour, and more particularly on the equilibrium prices of financial assets. We adapt the Portfolio Model and the CAPM (Capital Assets Pricing Model) so as to introduce explicitly the process of expectation formation in an economy where there is real disequilibrium. In this theoretical framework we show that financial markets play a procyclical role via expectations.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1990:i:18:p:91-111

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