Monday, December 14, 2009

Samuelson and Random Asset Prices

"Proof that Properly Anticipated Prices Fluctuate Randomly" is my favorite Samuelson article. The title tells all, the theory is concise and powerful.

But the question that comes next is: can we identify prices that are not properly anticipated and estimate the biases in anticipations?

Read the paper here . Hat tip to Tyler Cowen (Marginal Revolution).

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