The Consumption-Based Capital Asset Pricing Model
AbstractThis 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.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 88-10.
Length: 21 pages
Date of creation: Jun 1988
Date of revision:
Publication status: Published in: Econometrica, 1989, 57(6) pp 1279-97
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finance; general equilibrium theory; asset pricing theory; CAPM;
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