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The Modigliani-Miller Theorem In A Dynamic Economy

  • TAKEKUMA, SHIN-ICHI
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    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.

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    File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/18604/1/HJeco0510100430.pdf
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    Article provided by Hitotsubashi University in its journal Hitotsubashi Journal of Economics.

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

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    Handle: RePEc:hit:hitjec:v:51:y:2010:i:1:p:43-55
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    1. Kocherlakota, Narayana & Pistaferri, Luigi, 2005. "Asset Pricing Implications of Pareto Optimality with Private Information," CEPR Discussion Papers 4930, C.E.P.R. Discussion Papers.
    2. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
    3. 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.
    4. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-40, April.
    5. 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.
    6. 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.
    7. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    8. 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.
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