Corvinus
Corvinus

A Three-Period Extension of The CAPM

Habis, Helga and Perge, Laura (2022) A Three-Period Extension of The CAPM. Working Paper. Corvinus University of Budapest, Budapest.

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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:

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ID Code:7147
Deposited By: Ádám Hoffmann
Deposited On:18 Jan 2022 12:46
Last Modified:18 Jan 2022 12:46

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