Habis, Helga and Perge, Laura (2022) A Three-Period Extension of The CAPM. Working Paper. Corvinus University of Budapest, Budapest.
|
PDF
- Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
241kB |
Abstract
In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model. We show that our extended model yields a Pareto efficient outcome. This result indicates that the beta pricing formula could be applied in a long term model settings as well.
Item Type: | Monograph (Working Paper) |
---|---|
Series Name: | Corvinus Economics Working Papers - CEWP |
Series Number / Identification Number: | 2022/01 |
Uncontrolled Keywords: | general equilibrium, CAPM, intertemporal choice, Pareto efficiency |
JEL classification: | D15 - Intertemporal Household Choice, Life Cycle Models and Saving D53 - General Equilibrium and Disequilibrium: Financial Markets G12 - Asset Pricing; Trading Volume; Bond Interest Rates |
Subjects: | Economics |
Projects: | NKFIH FK 125126 |
References: | Bodie, Z., A. Kane, and A. J. Marcus (2011): Investments - 9th ed.chap. The Capital Asset Pricing Model, pp. 280–317. Douglas Reiner, McGraw-Hill/Irwin, New York.
Breeden, D. (1979): “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities,” Journal of Financial Economics,
Habis, H., and J.-J. Herings (2011): “Core concepts for incomplete market economies,” Journal of Mathematical Economics, 47(5), 595–609, doi:
LeRoy, S. F., and J. Werner (2001): Principles of Financial Economicspp. 135–145. Cambridge University Press, Cambridge and New York,
Lintner, J. (1965): “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” Review of Economics
Lucas, R. (1978): “Asset Prices in an Exchange Economy,” Econometrica, 46, 1429–1445., doi:
Magill, M. J. M., and M. Quinzii (1996): Theory of Incomplete Markets. MIT Press, Cambridge, Massachusetts.
Mossin, J. (1966): “Equilibrium in a Capital Asset Market,” Econometrica, 34(4), 768–783., doi: https://doi.org/10.2307/1910098
Rubinstein, M. (1976): “The Valuation of Uncertain Income Streams and the Pricing of Options,” Bell Journal of Economics and Management Science, 7,
Sharpe, W. (1964): “Capital Asset Prices: A Theory of Market Equilibrium Under The Conditions Of Risk,” The Journal of Finance, 19(3), 425–442.,
|
ID Code: | 7147 |
Deposited By: | Ádám Hoffmann |
Deposited On: | 18 Jan 2022 12:46 |
Last Modified: | 18 Jan 2022 12:46 |
Repository Staff Only: item control page