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Consumption Based Asset Pricing Models · Study

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ChapterConsumption Based Asset Pricing Models

Unknown author2007

Chapter2007

Consumption Based Asset Pricing Models

Unknown author

31 citations·0/0 files stored·Springer eBooks

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1993Dynamic Asset Pricing Theory.1990Asset Prices under Habit Formation and Catching up with the Joneses 1993Myopic Loss Aversion and the Equity Premium Puzzle 1990Implications of Security Market Data for Models of Dynamic Economies 1996The Equity Premium: It's Still a Puzzle 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle

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2007The Equity Premium Puzzle: A Reviewarticle · 11 shared references 2003Chapter 14 The equity premium in retrospectchapter · 10 shared references 2008The Equity Premium: ABCschapter · 10 shared references 2003The Equity Premium in Retrospectreport · 7 shared references 2003The Equity Premium: Why Is It a Puzzle? (corrected)article · 7 shared references 2003Chapter 13 Consumption-based asset pricingchapter · 6 shared references

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Year2007

Typechapter

Published2007-03-20

VenueSpringer eBooks

Languageen

Citations31

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ShelfFinancial Markets and Investment Strategies

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doi10.1007/3-540-24696-7_10

openalex_workW4239744915

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