Common nonstationary components of asset prices
type: Item
instance of: scholarly article
title: Common nonstationary components of asset prices
zbMATH Open document ID: 0644.90019
DOI: 10.1016/0165-1889(88)90045-0
author: Peter Bossaerts
publication date: 1988-01-01T00:00:00Z
review text: Portfolio separation in a multi-period general equilibrium context implies that asset prices are collinear. In economies that do not exhibit separation, but that move close to separation, `approximate collinearity' or cointegration emerges as a statistical model of actual data. A new test for cointegration is proposed. It is based on time-series canonical correlation analysis and solves the problem of unidentified parameters under the null hypothesis and of identification of the cointegrating vectors when more than two time series are investigated. An empirical analysis of prices of five size-based portfolios and five industry-based portfolios of common stock reveals substantial evidence of cointegration.
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 4051305
zbMATH Keywords: Portfolio separation
zbMATH Keywords: multi-period general equilibrium
zbMATH Keywords: approximate collinearity
zbMATH Keywords: cointegration
zbMATH Keywords: time-series canonical correlation analysis
MaRDI profile type: Publication
full work available at URL: 0165-1889(88)90045-0
OpenAlex ID: W2057765943
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published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 4051305