Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model

Victor Olkhov

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arXiv · 2204.07506

Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model

Victor Olkhov

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Abstract

This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price "to-day," mean payoff "next-day," price and payoff volatilities, and price and payoff autocorrelations. The deep conjunction of the consumption-based model with other versions of asset pricing, such as ICAPM, APM, etc. (Cochrane, 2001), emphasizes that our results are valid for other pricing models.

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Victor Olkhov. 2022-03-05. Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model. https://arxiv.org/abs/2204.07506

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