Concept
Consumption-based capital asset pricing model
Related publications (33)
Excess demand and equilibration in multi-security financial markets: The empirical evidence
Price dynamics are studied in a dataset of more than 11,000 transactions from large-scale financial markets experiments with multiple risky securities. The aim is to determine whether a few simple principles govern equilibration. We first ask whether price ...
2003Excess Asset Returns and Limited Enforcement
This paper investigates the effect of limited enforcement of contracts on asset returns in a three-period pure- exchange overlapping generations economy. We consider a life-cycle setting with a safe and a risky asset and find that lack of commitment can si ...
American Economic Association2002IPO post-issue markets: Questionable predilections but diligent learners?
There appear to be no anomalies in the aftermarket of a sample of 4,848 U.S. IPOs over the period 1975 to 1995, except issues offered below $6. Risk is priced in the aftermarket in accordance with Rubinstein's asset-pricing model. Unlike under the efficien ...
2001