Capital asset pricing in an overlapping generations model

DOI10.1016/0022-0531(84)90088-7zbMATH Open0548.90012OpenAlexW2092038881MaRDI QIDQ799463FDOQ799463

Gur Huberman

Publication date: 1984

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(84)90088-7

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zbMATH Keywords

Markov processasymmetric informationoverlapping generationscapital asset pricingequilibrium behavior of prices

Mathematics Subject Classification ID

Economic growth models (91B62) Financial applications of other theories (91G80)

Cites Work

• Asset Prices in an Exchange Economy
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
• The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities

Cited In (10)

• The political economy of environmental policy with overlapping generations
• Comparative Dynamics and Risk Premia in an Overlapping Generations Model
• Markov rational expectations equilibria in an overlapping generations model
• Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax
• Asset Valuation and Production Efficiency in an Overlapping-Generations Model with Production Shocks
• Existence and local uniqueness of functional rational expectations equilibria in dynamic economic models
• Endogenous Random Asset Prices in Overlapping Generations Economies
• Asset bubbles in an overlapping generations model with endogenous labor supply
• Intrinsic bubbles and asset price volatility
• Market participation and share prices.

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