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Asset prices in a production economy

Brock, William A. (1982) Asset prices in a production economy. In: The Economics of Information and Uncertainty. University of Chicago Press , Chicago, pp. 1-46. ISBN 0-226-55559-3.

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This paper develops an intertemporal general equilibrium theory of capital asset pricing. It is an attempt to put together ideas from the modern finance literature and the literature on stochastic growth models. In this way we will obtain a theory that ultimately is capable of addressing itself to general equilibrium questions such as: (1) What is the impact of an increase in the corporate income tax upon the relative prices of risky stocks? (2) What is the impact of an increase in progressivity of the personal income tax upon the relative price structure of risky assets? (3) What conditions on tastes and technology are needed for the validity of the Sharpe-Lintner certainty equivalence formula and the Ross (1976) arbitrage theory and so forth?

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Additional Information:© 1982 the National Bureau of Economic Research This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research. Formerly SSWP 275.
Record Number:CaltechAUTHORS:20171120-150948022
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:83362
Deposited By: Jacquelyn Bussone
Deposited On:20 Nov 2017 23:40
Last Modified:03 Oct 2019 19:05

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