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Asset pricing and the Modigliani-Miller theorem with the spirit of capitalism

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  • Jizheng Huang

    (China Economics and Management Academy, CUFE)

  • Heng-fu Zou

    (China Economics and Management Academy, CUFE)

Abstract

This paper investigates a equilibrium theory of capital asset pricing with the spirit of capitalism. It is an attempt to put together ideas from the modern finance literature and the literature on stochastic growth models. Using methods adopted in Brock (1982), an equivalent characterization of equilibrium by first-order conditions for optimal growth is investigated. We also consider the Modigliani-Miller theorem with the spirit of capitalism.

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Bibliographic Info

Paper provided by China Economics and Management Academy, Central University of Finance and Economics in its series CEMA Working Papers with number 456.

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Length: 17 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:cuf:wpaper:456

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Web page: http://cema.cufe.edu.cn/
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Related research

Keywords: Spirit of capitalism; equilibrium; Optimal growth; Social-status;

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References

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  1. Heng-fu Zou, 1995. "The spirit of capitalism and savings behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 28(1), pages 131-143, September.
  2. Heng-fu Zou, 1995. "'The spirit of capitalism' and long-run growth," CEMA Working Papers 94, China Economics and Management Academy, Central University of Finance and Economics.
  3. Brock, William A., 1980. "Asset Prices in a Production Economy," Working Papers 275, California Institute of Technology, Division of the Humanities and Social Sciences.
  4. Francis, Johanna L., 2007. "Wealth and the Capitalist Spirit," MPRA Paper 5985, University Library of Munich, Germany.
  5. Altug,Sumru & Labadie,Pamela, 2008. "Asset Pricing for Dynamic Economies," Cambridge Books, Cambridge University Press, number 9780521699143.
  6. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
  7. Karnizova, Lilia, 2010. "The spirit of capitalism and expectation-driven business cycles," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 739-752, September.
  8. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  9. Cole, Harold L & Mailath, George J & Postlewaite, Andrew, 1992. "Social Norms, Savings Behavior, and Growth," Journal of Political Economy, University of Chicago Press, vol. 100(6), pages 1092-1125, December.
  10. Larry Samuelson, 2004. "Information-Based Relative Consumption Effects," Econometrica, Econometric Society, vol. 72(1), pages 93-118, 01.
  11. Brock, William A & Turnovsky, Stephen J, 1981. "The Analysis of Macroeconomic Policies in Perfect Foresight Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 179-209, February.
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