Advanced Search
MyIDEAS: Login to save this article or follow this journal

The Modigliani-Miller Theorem In A Dynamic Economy

Contents:

Author Info

  • TAKEKUMA, SHIN-ICHI
Registered author(s):

    Abstract

    A dynamic economy with markets of equities and bonds is considered. The rational expectations equilibrium is defined in an asset pricing model and a condition under which the Modigliani-Miller theorem holds is shown. In an aggregate model the existence of a rational expectations equilibrium is proved.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/18604/1/HJeco0510100430.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Hitotsubashi University in its journal Hitotsubashi Journal of Economics.

    Volume (Year): 51 (2010)
    Issue (Month): 1 (June)
    Pages: 43-55

    as in new window
    Handle: RePEc:hit:hitjec:v:51:y:2010:i:1:p:43-55

    Contact details of provider:
    Phone: +81-42-580-8000
    Web page: http://www.econ.hit-u.ac.jp/
    More information through EDIRC

    Related research

    Keywords: The Modigliani-Miller theorem; rational expectations; asset pricing;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005. "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies 2005,29, Deutsche Bundesbank, Research Centre.
    2. Alon Brav & George M. Constantinides & Christopher C. Geczy, 2002. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," NBER Working Papers 8822, National Bureau of Economic Research, Inc.
    3. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    4. Allen, Beth E, 1981. "Generic Existence of Completely Revealing Equilibria for Economies with Uncertainty when Prices Convey Information," Econometrica, Econometric Society, vol. 49(5), pages 1173-99, September.
    5. DeMarzo, Peter M., 1988. "An extension of the Modigliani-Miller theorem to stochastic economies with incomplete markets and interdependent securities," Journal of Economic Theory, Elsevier, vol. 45(2), pages 353-369, August.
    6. Takekuma, Shin-ichi, 1990. "On the Existence of an Equilibrium for an Aggregate Model of Stationary Markov Economy," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 31(2), pages 105-117, December.
    7. Constantinides,George & Duffie,Darrel, 1992. "Asset pricing with heterogeneous consumers," Discussion Paper Serie A 381, University of Bonn, Germany.
    8. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:hit:hitjec:v:51:y:2010:i:1:p:43-55. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Digital Resources Section, Hitotsubashi University Library).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.