Lecture

Asset Pricing: Excess Volatility Puzzle

In course

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Description

This lecture delves into the Excess Volatility Puzzle, exploring the discrepancies between stock prices and fundamental values, the implications of constant discount rates, and the predictability of returns and dividends. The discussion covers the Grossman-Shiller plot, the Campbell-Shiller decomposition, and the derivation of the Black and Scholes formula.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_fy5977d2

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

Macroeconomics: Markets

Business

Finance: Corporate finance, Investment management

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