In the standard CAPM with a riskless asset we give a simple proof of existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.

Traditional tests of the CAPM following the Fama / MacBeth (1973) procedure are tests of thejoint hypotheses that there is a relationship between beta and realized return and that the marketrisk premium is positive. The conditional test procedure developed by Pettengill / Sundaram/ Mathur (1995)...

Humankapital stellt möglicherweise einen wichtigen Faktor bei der Bewertung von Unternehmen in wissensintensiven Branchen dar. Es wird versucht, eine risikoadjustierte Bewertung von Humankapital sowie von Investitionen in qualifiziertes Humankapital (im Rahmen von Aus- und Weiterbildung) zu...

In the standard CAPM with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents´ endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is inparticular satisfied with constant...

...Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long...

A simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical analysts, is studied. Fractions of these trader types, which are both boundedly rational, change over time according to evolutionary learning, with technical analysts conditioning their...

Autoren-Abstract: This article considers three standard asset pricing models with adaptive agents and stochastic dividends. The models only differ in the parameters to be estimated. We assume that only limited information is used to construct estimators....

The Fundamental Theorem of Asset Pricing states - roughly speaking - that the absence of arbitrage possibilities for a stochastic process S is equivalent to the existence of an equivalent martingale measure for S. It turns out that it is quite hard to give precise and sharp versions of this...

This article investigates the impacts of asymmetric information within a Lucas (1978) asset pricing economy. Asymmetry enters via the assumption that one group of agents is equipped with superior information about the dividend process.(...)