Sunspots and predictable asset returns

Edouard Challe

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Abstract: This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile.

Keywords: Return predictability; Sunspots; Cointegration (search for similar items in EconPapers)
Date: 2004-03
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Citations: View citations in EconPapers (20)

Published in Journal of Economic Theory, 2004, 115 (1), pp.9

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00069375

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