Capital asset pricing in an overlapping generations model

DOI10.1016/0022-0531(84)90088-7MaRDI QIDQ799463zbMATH OpenOpenAlexFDO

Authors 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

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)

Recommendations

• Endogenous Random Asset Prices in Overlapping Generations Economies
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Cites work

• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Prices in an Exchange Economy
• 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)

• Intrinsic bubbles and asset price volatility
• Asset bubbles in an overlapping generations model with endogenous labor supply
• Market participation and share prices.
• Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax
• Comparative Dynamics and Risk Premia in an Overlapping Generations Model
• 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
• The political economy of environmental policy with overlapping generations
• Markov rational expectations equilibria in an overlapping generations model

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