Rational Asset Prices

Acentralthemeinfinanceandeconomicsisthepursuitofaunifiedtheory
oftherateofreturnacrossdifferentclassesoffinancialassets.Inparticular
weareinterestedinthemeancovariabilityandpredictabilityofthereturn
offinancialassets.Atthemacrolevelwestudytheshort-termrisk-free
ratethetermpremiumoflong-termbondsovertherisk-freerateandthe
aggregateequitypremiumofthestockmarketovertherisk-freerate.At
themicrolevelwestudythepremiumofindividualstockreturnsandof
classesofstockssuchasthesmall-capitalizationversuslarge-capitalization
stocksthe“value”versus“growth”stocksandthepastlosingversuswinning
stocks.
Theneoclassicalrationaleconomicmodelisaunifiedmodelthatviews
thesepremiaastherewardtorisk-averseinvestorsthatprocessinformation
rationallyandhaveunambiguouslydefinedpreferencesoverconsumptionthat
typically~butnotnecessarily!belongtothevonNeumann–Morgensternclass.
Naturallythetheoryallowsformarketincompletenessmarketimperfections
informationalasymmetriesandlearning.Thetheoryalsoallowsfor
differencesamongassetsforliquiditytransactioncoststaxstatusandother
institutionalfactors.
Thecauseofmuchanxietyoverthelastquarterofacenturyisevidence
interpretedasfailureoftherationaleconomicparadigmtoexplaintheprice
levelandtherateofreturnoffinancialassetsbothatthemacroandmicro......


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