Procrastination and intertemporal consumption: A three-period extension of the CAPM with irrational agents

Helga Habis

Finance Research Letters, 2024, vol. 63, issue C

Abstract: In this paper, we investigate the capital asset pricing model (CAPM) derived from a three-period general equilibrium model incorporating time-inconsistent preferences. We define and consider two types of agents, i.e. they can be either sophisticated or naive. Sophisticated agents take into account their potentially changing future preferences when making a decision. Naive agents, on the other hand, do not anticipate this issue and their related self-control problems when they plan the consumption path.

Keywords: General equilibrium; CAPM; Intertemporal choice; Pareto efficiency; Naive; Sophisticated (search for similar items in EconPapers)
JEL-codes: D15 D53 D91 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003556

DOI: 10.1016/j.frl.2024.105325

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