Advertisement

Equilibrium Models

  • Christian Gouriéroux
Part of the Springer Series in Statistics book series (SSS)

Abstract

The Capital Asset Pricing Model (CAPM) is obtained by adding to the optimal behavior of the asset demanders an equilibrium condition on supply and demand. This model was derived independently by Sharpe (1964), Lintner (1965) and Mossin (1966).

Keywords

Equilibrium Model Risky Asset Asset Return Capital Asset Price Model Market Portfolio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Literatur

  1. Admati, A.R. (1985) “A Noisy Rational Expectation Equilibrium for Multi Assets Securities Markets”, Econometrica, 53, 629–648.MathSciNetzbMATHCrossRefGoogle Scholar
  2. Lintner, J. (1965) “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Porfolios and Capital Budgets”, Review of Economics and Statistics, 41, 13–37.CrossRefGoogle Scholar
  3. Merton, R. (1973) “An Intertemporal Capital Asset Pricing Model”, Econometrica, 41, 867–886.MathSciNetzbMATHCrossRefGoogle Scholar
  4. Mossin, J. (1966) “Equilibrium in Capital Asset Market”, Econometrica, 35, 768–783.CrossRefGoogle Scholar
  5. Sharpe, W. (1964) “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, The Journal of Finance, 19, 425–442.Google Scholar
  6. Sharpe, W. (1966) “Mutual Fund Performance”, Journal of Business, Suppl. 1, part 2, 119–138.Google Scholar
  7. Black, F., Jensen, M. and M. Scholes (1972) “The Capital Asset Pricing Model: Some Empirical Tests”, in Studies in the Theory of Capital Markets, (M. Jensen, Ed.) New York: Praeger.Google Scholar
  8. Blume, M. and I. Friend (1973) “A New Look at the Capital Asset Pricing Model”, Journal of Finance, 28, 19–33.CrossRefGoogle Scholar
  9. Fama, E. and J. McBeth (1973) “Risk, Return and Equilibrium: Empirical Tests”, Journal of Political Economy, 81, 607–636.CrossRefGoogle Scholar
  10. Gibbons, M. (1982) “Multivariate Tests of Financial Models: A New Approach”, Journal of Financial Economics, 10, 3–27.CrossRefGoogle Scholar
  11. Krauss, A. and R. Litzenberger (1976) “Skewness Preference and the Valuation of Risk Assets”, Journal of Finance, 31, 1085–1100.Google Scholar
  12. MacKinlay, A. (1987) “On Multivariate Test of the CAPM”, Journal of Financial Economics, 18, 341–371.CrossRefGoogle Scholar
  13. Shanken, J. (1985) “Multivariate Tests of the Zero-beta CAPM”, Journal of Financial Economics, 14, 326–348.CrossRefGoogle Scholar
  14. Bollerslev, R., Engle, R. and J. Wooldridge (1988) “A Capital Asset Pricing Model with Time Varying Covariance”, Journal of Political Economy, 96, 116–131.CrossRefGoogle Scholar
  15. Engle, R., Ng, V. and M. Rothschild (1990) “Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills”, Journal of Econometrics, 45, 213–237.CrossRefGoogle Scholar
  16. Engle, C. and A. Rodrigues (1987) “Tests of International C.A.P.M. with Time Varying Covariances”, Report No. 2303. Washington, DC: National Bureau of Economic Research.Google Scholar
  17. Gibbons, M. and W. Ferson (1985) “Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio”, Journal of Financial Economics, 14, 217–236.CrossRefGoogle Scholar
  18. Gouriéroux, C. and A. Monfort (1992) “Qualitative Threshold ARCH Models”, Journal of Econometrics, 52, 159–199.MathSciNetzbMATHCrossRefGoogle Scholar
  19. Broze, L., Gouriéroux, C. and A. Szafarz (1986) “Bulles spéculatives et transmission d’information sur le marché d’un bien stockable”, Actualité Economique, 62, 166–184.CrossRefGoogle Scholar
  20. Grossman, S.J. (1976) “On the Efficiency of Competitive Stock Markets where Traders Have Diverse Information”, Journal of Finance, 31, 573–585.CrossRefGoogle Scholar
  21. Grossman, S.J. and J.E. Stiglitz (1980) “On the Impossibility of Informationally Efficient Markets”, American Economic Review, 70, 393–408.Google Scholar
  22. Hellwig, M.F. (1982) “Rational Expectations Equilibrium with Conditioning on Past Prices: A Mean-Variance Example”, Journal of Economic Theory, 26, 279–312.MathSciNetzbMATHCrossRefGoogle Scholar
  23. Breeden, D. (1979) “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics, 7, 265–296.zbMATHCrossRefGoogle Scholar
  24. Brenden, D., Gibbons, M. and R. Litzenberger (1989) “Empirical Tests of the Consumption Oriented CAPM”, The Journal of Finance, 2, 231–262.Google Scholar
  25. Cox, J., Ingersoll, J. and S. Ross (1985) “An Intertemporal General Equilibrium Model of Asset Prices”, Econometrica, 53, 363–384.MathSciNetzbMATHCrossRefGoogle Scholar
  26. Duffie, D. and W. Zame (1988) “The Consumption Based Capital Asset Pricing Model”, Discussion Paper No. 922. Stanford, CA: Stanford University.Google Scholar
  27. Grossman, S. and G. Laroque (1987) “Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods”, Discussion Paper. Paris: Institut Nationale de la Statistique et des Etudes Economiques.Google Scholar
  28. Lucas, R. (1978) “Asset Prices in Exchange Economy”, Econometrica, 46, 1429–1445.MathSciNetzbMATHCrossRefGoogle Scholar
  29. Rubinstein, M. (1976) “The Valuation of Uncertain Income Streams and the Pricing of Option”, Bell Journal of Economics, 7, 407–425.CrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media New York 1997

Authors and Affiliations

  • Christian Gouriéroux
    • 1
  1. 1.Centre de Recherche en Economie et StatistiqueLaboratoire de Finance-AssuranceMalakoff CedexFrance

Personalised recommendations