摘要翻译：
定价核的存在表明存在一个产生市场过滤的环境信息过程。这个信息过程包括一个关于随机变量X的值的信号分量和一个独立的噪声分量，该随机变量X可以被解释为未来现金需求的时间。特别是信号的条件预期，决定了市场风险溢价向量。与X无关的任何项的信号的附加，在噪声中产生漂移，被证明改变了物理度量中价格过程的漂移，而不影响当前的资产价格水平。噪声项的这种漂移可以诱导异常的价格动态，可以用来解释已观察到的股权溢价和金融泡沫现象的机制。
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英文标题：
《Noise, risk premium, and bubble》
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作者：
Grzegorz Andruszkiewicz and Dorje C. Brody
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
  The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X that can be interpreted as the timing of future cash demand, and an independent noise component. The conditional expectation of the signal, in particular, determines the market risk premium vector. An addition to the signal of any term that is independent of X, which generates a drift in the noise, is shown to change the drifts of price processes in the physical measure, without affecting the current asset price levels. Such a drift in the noise term can induce anomalous price dynamics, and can be seen to explain the mechanism of observed phenomena of equity premium and financial bubbles.
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PDF链接：
https://arxiv.org/pdf/1103.3206