CAPM 的三期扩展

IF 1.9 Q2 ECONOMICS JOURNAL OF ECONOMIC STUDIES Pub Date : 2024-02-27 DOI:10.1108/jes-11-2023-0640

Helga Habis

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引用次数: 0

摘要

设计/方法/途径本文表明，资本资产定价模型可以从三期一般均衡模型中推导出来。实际意义资本资产定价模型（CAPM）可用于为长期资产定价。社会意义长期建模和可持续性可在我们的设置中建模。我们的结果只适用于两个时期，而扩展到三个时期则为资产定价、行为分析和长期效率的应用开辟了广阔的空间。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A three-period extension of the CAPM

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.

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来源期刊

JOURNAL OF ECONOMIC STUDIES ECONOMICS-

CiteScore

4.00

自引率

5.90%

发文量

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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