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Asset Pricing, Capital Structure and the Spirit of Capitalism in a Production Economy

  • Jizheng Huang

    (China Economics and Management Academy, CUFE)

  • Heng-fu Zou

    (China Economics and Management Academy, CUFE)

This paper investigates an intertemporal general 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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Article provided by Society for AEF in its journal Annals of Economics and Finance.

Volume (Year): 14 (2013)
Issue (Month): 2 (November)
Pages: 367-384

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Handle: RePEc:cuf:journl:y:2013:v:14:i:2:n:3:huang
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  1. Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory And Asset Prices," The Quarterly Journal of Economics, MIT Press, vol. 116(1), pages 1-53, February.
  2. 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.
  3. Bisin, Alberto & Verdier, Thierry, 1998. "On the cultural transmission of preferences for social status," Journal of Public Economics, Elsevier, vol. 70(1), pages 75-97, October.
  4. Gurdip S. Bakshi & Zhiwu Chen, 1996. "The Spirit of Capitalism and Stock-Market Prices," CEMA Working Papers 511, China Economics and Management Academy, Central University of Finance and Economics.
  5. Brock, William A., 1980. "Asset Prices in a Production Economy," Working Papers 275, California Institute of Technology, Division of the Humanities and Social Sciences.
  6. repec:cup:cbooks:9780521875851 is not listed on IDEAS
  7. Heng-fu Zou, 1991. "The spirit of capitalism and long-run growth," Policy Research Working Paper Series 630, The World Bank.
  8. Francis, Johanna L., 2009. "Wealth and the capitalist spirit," Journal of Macroeconomics, Elsevier, vol. 31(3), pages 394-408, September.
  9. Karnizova, Lilia, 2010. "The spirit of capitalism and expectation-driven business cycles," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 739-752, September.
  10. Haim Levy, 2004. "Prospect Theory and Mean-Variance Analysis," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 1015-1041.
  11. Grant McQueen, 2004. "Whence GARCH? A Preference-Based Explanation for Conditional Volatility," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 915-949.
  12. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
  13. Heng-fu Zou, 1995. "The spirit of capitalism and savings behavior," CEMA Working Papers 79, China Economics and Management Academy, Central University of Finance and Economics.
  14. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  15. repec:cup:cbooks:9780521699143 is not listed on IDEAS
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