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The Consumption-Based Capital Asset Pricing Model

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Author Info
Duffie, Darrell
Zame, William

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Abstract

This paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the consumption-based capital asset pricing model. The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multiagent economies. No Markovian state assumption is used. Copyright 1989 by The Econometric Society.

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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 57 (1989)
Issue (Month): 6 (November)
Pages: 1279-97
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Handle: RePEc:ecm:emetrp:v:57:y:1989:i:6:p:1279-97

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  1. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Peter Bossaerts & William R. Zame, 2005. "Asset Trading Volume in Infinite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment," UCLA Economics Working Papers 841, UCLA Department of Economics. [Downloadable!]
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  3. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO. [Downloadable!]
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  4. Chris Shannon & William R. Zame, 1999. "Quadratic Concavity and the Determinancy of Equilibrium," UCLA Economics Working Papers 791, UCLA Department of Economics. [Downloadable!]
  5. Francesco Menoncin & Paolo Panteghini, 2008. "The Johansson-Samuelson Theorem in General Equilibrium: A Rebuttal," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  6. M. C. Freeman, I. R. Davidson, 1999. "Estimating the equity premium," European Journal of Finance, Taylor and Francis Journals, vol. 5(3), pages 236-246, September. [Downloadable!] (restricted)
  7. Frank Riedel, 1998. "Imperfect Information Leads to Complete Markets if Dividends are Diffusions," Finance 9808002, EconWPA. [Downloadable!]
  8. William R. Zame & Y.A. Abramovich & C.D. Aliprantis, 1994. "A Representation Theorem for Riesz Spaces and its Applications to Economics," UCLA Economics Working Papers 725, UCLA Department of Economics. [Downloadable!]
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  9. Jose S. Penalva Zuasti, 2001. "Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 790-822, October. [Downloadable!] (restricted)
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  10. Frank Riedel, 2003. "Generic Determinacy of Equilibria with Local Substitution," GE, Growth, Math methods 0303001, EconWPA. [Downloadable!]
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  11. Monique Florenzano & Valeri Marakulin, 2000. "Production Equilibria in Vector Lattices," Econometric Society World Congress 2000 Contributed Papers 1396, Econometric Society. [Downloadable!]
  12. Basak, Suleyman, 2004. "Asset Prices with Heterogenous Beliefs," CEPR Discussion Papers 4256, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  13. Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO. [Downloadable!]
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  14. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer, vol. 31(3), pages 447-471, June. [Downloadable!] (restricted)
  15. V. Filipe Martins-da-Rocha & Frank Riedel, 2008. "On Equilibrium Prices in Continuous Time," Quantitative Finance Papers 0802.3585, arXiv.org. [Downloadable!]
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  16. Aase, Knut K., 2005. "On the Consistency of the Lucas Pricing Formula," Discussion Papers 2005/9, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  17. Napp, Clotilde & Jouini, Elyès, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/78, Université Paris-Dauphine. [Downloadable!]
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  18. Stefan JASCHKE, . "Exploratory Data Analysis of Short-Term Interest Rates," Sonderforschungsbereich 373 1994-47, Humboldt Universitaet Berlin.
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