In this paper, we show that the capital asset pricing model can be derived from a three- period general equilibrium model even if the agents of the financial economy have time- inconsistent preferences, i.e. they are either sophisticated or naive

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...