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A Multiperiod Equilibrium Asset Pricing Model

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  • Stapleton, R C
  • Subrahmanyam, Marti G

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  • Stapleton, R C & Subrahmanyam, Marti G, 1978. "A Multiperiod Equilibrium Asset Pricing Model," Econometrica, Econometric Society, vol. 46(5), pages 1077-1096, September.
    • Handle: RePEc:ecm:emetrp:v:46:y:1978:i:5:p:1077-96
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    Cited by:

    1. Christian Koziol & Werner Neus, 2020. "Capital Market Equilibrium With Imperfect Competition: The Case of the ECB’s Asset Purchase Programme," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 72(3), pages 369-391, July.
    2. Ronald A. Dye & Sri S. Sridhar, 2007. "The Allocational Effects of the Precision of Accounting Estimates," Journal of Accounting Research, Wiley Blackwell, vol. 45(4), pages 731-769, September.
    3. Alexander Reisz, 1999. "Temporal Resolution of Uncertainty, the Investment Policy of Levered Firms and Corporate Debt Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-044, New York University, Leonard N. Stern School of Business-.
    4. Hillebrand, Marten & Wenzelburger, Jan, 2006. "The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 565-593, August.
    5. Kenton K. Yee, 2006. "Earnings Quality and the Equity Risk Premium: A Benchmark Model," Contemporary Accounting Research, John Wiley & Sons, vol. 23(3), pages 833-877, September.
    6. Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 61-97, January.
    7. John G. Cragg & Burton G. Malkiel, 1982. "References, Index," NBER Chapters, in: Expectations and the Structure of Share Prices, pages 167-176, National Bureau of Economic Research, Inc.
    8. Nihad Aliyev, 2019. "Financial Markets with Multidimensional Uncertainty," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2019.
    9. Hillebrand, Marten & Wenzelburger, Jan, 2006. "On the dynamics of asset prices and portfolios in a multiperiod CAPM," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 578-594.
    10. Gregor Dorfleitner & Michael Krapp, 2007. "On multiattributive risk aversion: some clarifying results," Review of Managerial Science, Springer, vol. 1(1), pages 47-63, April.
    11. Liutang Gong & Yulei Luo & Heng-fu Zou, 2009. "Social Status, the Spirit of Capitalism, and the Term Structure of Interest Rates in Stochastic Production Economies," CEMA Working Papers 372, China Economics and Management Academy, Central University of Finance and Economics.
    12. Wilhelm, Jochen, 2002. "Risikoabschläge, Risikozuschläge und Risikoprämien: Finanzierungstheoretische Anmerkungen zu einem Grundproblem der Unternehmensbewertung," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 9, University of Passau, Faculty of Business and Economics.
    13. Matt Pritsker, 2005. "A Fully-Rational Liquidity-Based Theory of IPO Underpricing and Underperformance," Computing in Economics and Finance 2005 414, Society for Computational Economics.
    14. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
    15. Thomson, Robert J., 2005. "The pricing of liabilities in an incomplete market using dynamic mean-variance hedging," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 441-455, June.
    16. Schmalensee, Richard., 1978. "A simple model of risk and return on long-lived tangible assets," Working papers 1036-78., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    17. Wolfgang Kürsten, 2002. "„Unternehmensbewertung unter Unsicherheit“, oder: Theoriedefizit einer künstlichen Diskussion über Sicherheitsäquivalent- und Risikozuschlagsmethode," Schmalenbach Journal of Business Research, Springer, vol. 54(2), pages 128-144, March.
    18. Ronald A. Dye, 2010. "Disclosure “Bunching”," Journal of Accounting Research, Wiley Blackwell, vol. 48(3), pages 489-530, June.
    19. Josef Schosser & Markus Grottke, 2013. "Nutzengestützte Unternehmensbewertung: Ein Abriss der jüngeren Literatur," Schmalenbach Journal of Business Research, Springer, vol. 65(4), pages 306-341, June.
    20. Jacky C. So & Rakesh Bharati & Susan Crain, 2001. "Risk-Taking, Agency Problem, and Small Business Loan Guarantee: An Application of Option Pricing Theory," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 6(1), pages 24-43, Spring.
    21. Ciprian Necula, 2008. "A Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series 23, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    22. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.

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