A Three-Period Extension of The CAPM

In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model. We show that our extended model yields a Pareto efficient outcome. This result indicates that the beta pricing formula could be applied in a long term model settings as well.

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Year of publication:	2022-01-18
Authors:	Habis, Helga ; Perge, Laura
Publisher:	Corvinus University of Budapest

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Habis, Helga and Perge, Laura (2022) A Three-Period Extension of The CAPM. Working Paper. Corvinus University of Budapest, Budapest.
Source:	BASE

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