This project intends to close a gap between empirical and theoretical capital market research. The stochastic processes for stock price developments that have so far been derived in theoretical research are only capable of describing the actual stock price developments in the international financial markets to a very limited extent. Empirical research has produced stochastic processes that describe reality much more accurately. However, so far a theoretical explanation for such stock price developments has been lacking. Therefore, this project aims at providing an economic foundation for stochastic processes. We intend to use theoretical models to derive processes which have statistical characteristics that are very similar to the stochastic processes used in empirical research. In the first stage of the analysis, we examine with the help of theoretical models how it is possible to describe the functional relationship between investors expectations and stock prices. From this, conclusions can be drawn regarding the extent to which statistical characteristics of stock price time series may be attributed to the expectations market participants formed. These theoretical links will be empirically verified in the course of our research. Later stages of the study will focus on the influence risk preference has on the stock returns.