Do CAPM Results Hold in a Dynamic Economy? A Numerical Analysis.

In this paper we present a method for solving the multifirm stochastic growth model of Brock (1979). After obtaining a solution to the growth model, we derive a solution to the asset pricing model of brock (1982) using the duality between the two models.

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Year of publication:	1996
Authors:	Akdeniz, L. ; Dechert, W.D.
Institutions:	Wisconsin Madison - Social Systems
Subject:	ECONOMIC MODELS \| ENTREPRISES \| PRICING

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Series:	Working papers.
Type of publication:	Book / Working Paper
Notes:	17 pages
Classification:	D90 - Intertemporal Choice and Growth. General ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005136835