Do CAPM Results Hold in a Dynamic Economy? A Numerical Analysis
AbstractIn this paper we present a method for solving the multifirm stochastic growth model of Brock (1979). After obtaining a solution to the growth model, we derive a solution to the asset pricing model of brock (1982) using the duality between the two models.
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Bibliographic InfoPaper provided by Wisconsin Madison - Social Systems in its series Working papers with number 9618.
Length: 17 pages
Date of creation: 1996
Date of revision:
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Postal: UNIVERSITY OF WISCONSIN MADISON, SOCIAL SYSTEMS RESEARCH INSTITUTE(S.S.R.I.), MADISON WISCONSIN 53706 U.S.A.
ECONOMIC MODELS; ENTREPRISES; PRICING;
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