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A Three-Period Extension of The CAPM

Author

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  • Habis, Helga
  • Perge, Laura

Abstract

In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model. We show that our extended model yields a Pareto efficient outcome. This result indicates that the beta pricing formula could be applied in a long term model settings as well.

Suggested Citation

  • Habis, Helga & Perge, Laura, 2022. "A Three-Period Extension of The CAPM," Corvinus Economics Working Papers (CEWP) 2022/01, Corvinus University of Budapest.
    • Handle: RePEc:cvh:coecwp:2022/01
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    File URL: https://unipub.lib.uni-corvinus.hu/7147/
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    Keywords

    general equilibrium; CAPM; intertemporal choice; Pareto efficiency;
    All these keywords.

    JEL classification:

    • D15 - Microeconomics - - Household Behavior - - - Intertemporal Household Choice; Life Cycle Models and Saving
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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