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Some Results in the CAPM with Nontraded Endowments

Author

Listed:
  • Gyutaeg Oh

    (Department of Finance, College of Business Administration, University of Iowa, Iowa City, Iowa 52242)

Abstract

The paper establishes a positive security market line in the CAPM with nontraded endowments. The effects of a market structure change on the security market line are analyzed when the equilibrium allocation is affected by the change.

Suggested Citation

  • Gyutaeg Oh, 1996. "Some Results in the CAPM with Nontraded Endowments," Management Science, INFORMS, vol. 42(2), pages 286-293, February.
  • Handle: RePEc:inm:ormnsc:v:42:y:1996:i:2:p:286-293
    as

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    File URL: http://dx.doi.org/10.1287/mnsc.42.2.286
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    References listed on IDEAS

    as
    1. Rogerson, William P, 1985. "The First-Order Approach to Principal-Agent Problems," Econometrica, Econometric Society, vol. 53(6), pages 1357-1367, November.
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    5. repec:bla:joares:v:29:y:1991:i:1:p:109-128 is not listed on IDEAS
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    10. Picard, Pierre, 1987. "On the design of incentive schemes under moral hazard and adverse selection," Journal of Public Economics, Elsevier, vol. 33(3), pages 305-331, August.
    11. Melumad, Nahum D. & Reichelstein, Stefan, 1989. "Value of communication in agencies," Journal of Economic Theory, Elsevier, vol. 47(2), pages 334-368, April.
    12. Roger B. Myerson, 1981. "Optimal Auction Design," Mathematics of Operations Research, INFORMS, vol. 6(1), pages 58-73, February.
    13. Besanko, David & Sibley, David S, 1991. "Compensation and Transfer Pricing in a Principal-Agent Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(1), pages 55-68, February.
    14. Bengt Holmstrom & Joan Ricart i Costa, 1986. "Managerial Incentives and Capital Management," The Quarterly Journal of Economics, Oxford University Press, vol. 101(4), pages 835-860.
    15. Sappington, David, 1983. "Limited liability contracts between principal and agent," Journal of Economic Theory, Elsevier, vol. 29(1), pages 1-21, February.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Athanasoulis, Stefano G & Shiller, Robert J, 2000. "The Significance of the Market Portfolio," Review of Financial Studies, Society for Financial Studies, pages 301-329.
    2. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
    3. Athanasoulis, S. & Shiller, R.J., 1995. "World Income Components: Measuring and Exploting International Risk Sharing Opportunities," Papers 725, Yale - Economic Growth Center.
    4. Calvet, Laurent & Gonzalez-Eiras, Martín & Sodini, Paolo, 2004. "Financial Innovation, Market Participation, and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 431-459, September.
    5. Alessandro, CITANNA & SCHMEDDERS, Karl, 2002. "Controlling price volatility through financial innovation," Les Cahiers de Recherche 749, HEC Paris.
    6. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit risk in general equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(2), pages 407-435, October.
    7. Herings,O. Jean-Jacques & Kubler,Felix, 2000. "The Robustness of CAPM-A Computational Approach," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    8. repec:onb:oenbwp:y::i:172:b:1 is not listed on IDEAS
    9. Herings, P.J.J. & Kubler, F., 1999. "The Robustness of the CAPM - A Computational Approach," Discussion Paper 1999-54, Tilburg University, Center for Economic Research.
    10. repec:eee:finlet:v:21:y:2017:i:c:p:241-248 is not listed on IDEAS
    11. Uluc, Arzu, 2015. "Stabilising house prices: the role of housing futures trading," Bank of England working papers 559, Bank of England.
    12. Willems, Bert & Morbee, Joris, 2010. "Market completeness: How options affect hedging and investments in the electricity sector," Energy Economics, Elsevier, vol. 32(4), pages 786-795, July.

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