investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and …

investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and …

investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only …

have identical, or sufficiently similar prior beliefs, the first best equilibrium is no trade. Simple sufficient conditions … yield the existence of a Pareto-efficient second-best equilibrium which reconciles many observed phenomena in financial …

the risk aversion is generally necessary to guarantee existence of an equilibrium in the CAPM with one risk-free asset …This note contains two remarks on the traditional capital asset pricing model (CAPM) with one risk-free asset. Firstly … existence result is formulated which allows for the case in which in equilibrium not all investors participate in the market for …

This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn … from this model: the disequilibrium Net Present Value, the equilibrium Net Present Value, the disequilibrium Net Future … Value, the equilibrium Net Future Value. While all of them may be used for accept-reject decisions, only the equilibrium Net …