{"title":"A three-period extension of the CAPM","authors":"Helga Habis","doi":"10.1108/jes-11-2023-0640","DOIUrl":null,"url":null,"abstract":"<h3>Purpose</h3>\n<p>Our result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well.</p><!--/ Abstract__block -->\n<h3>Design/methodology/approach</h3>\n<p>In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model.</p><!--/ Abstract__block -->\n<h3>Findings</h3>\n<p>We show that our extended model yields a Pareto efficient outcome.</p><!--/ Abstract__block -->\n<h3>Practical implications</h3>\n<p>The capital asset pricing model (CAPM) model can be used for pricing long-lived assets.</p><!--/ Abstract__block -->\n<h3>Social implications</h3>\n<p>Long-term modelling and sustainability can be modelled in our setting.</p><!--/ Abstract__block -->\n<h3>Originality/value</h3>\n<p>Our results were only known for two periods. The extension to 3 periods opens up a large scope of applicational possibilities in asset pricing, behavioural analysis and long-term efficiency.</p><!--/ Abstract__block -->","PeriodicalId":47604,"journal":{"name":"JOURNAL OF ECONOMIC STUDIES","volume":null,"pages":null},"PeriodicalIF":1.9000,"publicationDate":"2024-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"JOURNAL OF ECONOMIC STUDIES","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jes-11-2023-0640","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
Purpose
Our result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well.
Design/methodology/approach
In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model.
Findings
We show that our extended model yields a Pareto efficient outcome.
Practical implications
The capital asset pricing model (CAPM) model can be used for pricing long-lived assets.
Social implications
Long-term modelling and sustainability can be modelled in our setting.
Originality/value
Our results were only known for two periods. The extension to 3 periods opens up a large scope of applicational possibilities in asset pricing, behavioural analysis and long-term efficiency.
期刊介绍：
The Journal of Economic Studies publishes high quality research findings and commentary on international developments in economics. The journal maintains a sound balance between economic theory and application at both the micro and the macro levels. Articles on economic issues between individual nations, emerging and evolving trading blocs are particularly welcomed. Contributors are encouraged to spell out the practical implications of their work for economists in government and industry
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