Rational infinitely lived asset prices must be non-stationary

Journal of Banking and Finance

Volumn 26, Issue 6, 2002, Pages 1093-1097

  Roll, Richard ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asset pricing; Martingale; Non stationarity

Indexed keywords

EID: 0036241876     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00207-8     Document Type: Article

References (2)

1. Proof that property anticipated prices fluctuate randomly