Ergodicity, State Prices, and Long Bond Returns
We present an analysis of price systems in securities markets with infinitely many time periods and infinitely many uncertain states of the world. A key result is that a Markov price system (MPS) has a unique representation in terms of the returns on a known set of bonds. The result implies that securities prices are the discounted value of dividends, where discount factors are the reciprocal of the returns on a long-horizon discount bond.
MSU Digital Commons Citation
Tessitore, Anthony and Usmen, Nilufer, "Ergodicity, State Prices, and Long Bond Returns" (1998). Department of Accounting and Finance Faculty Scholarship and Creative Works. 56.