Market equilibrium is regarded as dynamic equilibrium characterized by timeinvariant probability distribution over microfinancial states, marginal redistributions of portfolios are regarded as essentially distinct.

The formalism provides basis for decomposing value changes by market fundamentals, investor sentiment, and investor acquisition of securities. Ordering information This working paper can be ordered Access Statistics for this paper More papers in IMF Working Papers from International Monetary Fund Abstract Within unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to approximate lognormal with systematic deviations high peak, fat tail and double exponential for credit risk.

Market equilibrium is regarded as dynamic equilibrium characterized by timeinvariant probability distribution over microfinancial states, marginal redistributions of portfolios are regarded as essentially distinct. Baum . The Equilibrium Distributions of Value for Risky Stocks and Bonds Ron Johannes No 0139, IMF Working Papers from International Monetary FundAddress International Monetary Fund, Washington, DC USAContact information at EDIRC. Series data maintained by Christopher Baum ..

Keywords Financial assets Investment Stock markets Bond markets Economic models search for similar items in EconPapersNew Economics Papers this item is included in nepfin and nepfmkView list of references Downloads external applicationpdf Related worksThis item be available elsewhere in EconPapers Search for items with the same title. Ordering information This working paper can be ordered Access Statistics for this paper More papers in IMF Working Papers from International Monetary FundAddress International Monetary Fund, Washington, DC USAContact information at EDIRC.

The formalism provides basis for decomposing value changes by market fundamentals, investor sentiment, and investor acquisition of securities. The Equilibrium Distributions of Value for Risky Stocks and Bonds Ron Johannes No 0139, IMF Working Papers from International Monetary FundAddress International Monetary Fund, Washington, DC USAContact information at EDIRC. Series data maintained by Christopher Market equilibrium is regarded as dynamic equilibrium characterized by timeinvariant probability distribution over microfinancial states, marginal redistributions of portfolios are regarded as essentially distinct.

Baum ..

The formalism provides basis for decomposing value changes by market fundamentals, investor sentiment, and investor acquisition of securities. Market equilibrium is regarded as dynamic equilibrium characterized by timeinvariant probability distribution over microfinancial states, marginal redistributions of portfolios are regarded as essentially distinct. Ordering information This working paper can be ordered Access Statistics for this paper More papers in IMF Working Papers from International Monetary FundAddress International Monetary Fund, Washington, DC USAContact information at EDIRC.
Tags: bonds, ge, investment, Risky Stocks, Stock Market