We develop a general equilibrium model of interest rates based on a continuous-time production economy populated by heterogeneous shareholders with logarithmic preferences. It allows us to study the impact of belief heterogeneity on bonds, the risk-free rate, and the yield curve. In particular,...

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.