A recent paper (Benninga-Protopapadakis 1994) considered a Lucas asset pricing model and showed that the pricing of forward and futures contracts was expressible as a simple matrix function. In this paper we derive limiting conditions for these differences and relate them to the eigenvectors of...

A recent paper (Benninga-Protopapadakis, J. Business, 1994) considered a Lucas asset pricing model and showed that the pricing of forward and futures contracts was expressible as a simple matrix function. In this paper we derive limiting conditions for these differences and relate them to the...

We re-examine the Mehra and Prescott (1985) model. Allowing the time preference factor to be greater than one resolves the "equity premium puzzle." We show that this solution is consistent with finite expected utility and a positive risk-free rate of interest. For somewhat higher values of...

In a sequential general equilibrium with a single representative risk--averse consumer, stationary uncertainty, a one-period lag between investment and production, and concave production functions, we show that the forward price of a one-period real default-free bond one period hence is less...

We derive a closed-form expression for the differences between forward and futures prices in the framework of a Lucas (1978) equilibrium model. We calculate this difference for fixed-income securities in two ways: 1. Using historic interest rate data to calibrate the matrix of nominal state...