COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1008

Empirical Implications of Arbitrage-Free Asset Markets

S. Maheswaran and Christopher A. Sims

January 1992

The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed.

JE Classification: G12

Keywords: Asset market, asset pricing