Econometrics of Current or 'Fair' Values

26 Pages Posted: 2 May 2007 Last revised: 22 Jun 2009

See all articles by Shyam Sunder

Shyam Sunder

Yale University - School of Management; Yale University - Cowles Foundation

Date Written: October 24, 2007

Abstract

Properties of many important valuation rules can be quantified, examined and compared in a unified framework to assist policy decisions. Valuation rules can be viewed as econometric estimators of unobserved values of aggregates. Which valuation rule has minimum mean squared error (relative to the unobserved value of bundles of resources) is a matter of econometrics, not of theory or principle; it depends in a known fashion on the relative magnitudes of the parameters — price volatility and measurement errors — of the economy, industry or firm. In general, no valuation rule, fair or not, dominates the others. Given parameters of the environment, this framework can help identify efficient valuation rules.

JEL Classification: M41, M44, G12

Suggested Citation

Sunder, Shyam, Econometrics of Current or 'Fair' Values (October 24, 2007). Available at SSRN: https://ssrn.com/abstract=983752 or http://dx.doi.org/10.2139/ssrn.983752

Shyam Sunder (Contact Author)

Yale University - School of Management ( email )

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6160 (Phone)

HOME PAGE: http://www.som.yale.edu/faculty/sunder/

Yale University - Cowles Foundation

Box 208281
New Haven, CT 06520-8281
United States

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