Do CAPM Results Hold in a Dynamic Economy? A Numerical Analysis

L. Akdeniz and W.D. Dechert

Working papers from Wisconsin Madison - Social Systems

Abstract: In this paper we present a method for solving the multifirm stochastic growth model of Brock (1979). After obtaining a solution to the growth model, we derive a solution to the asset pricing model of brock (1982) using the duality between the two models.

Keywords: ECONOMIC MODELS; ENTREPRISES; PRICING (search for similar items in EconPapers)
JEL-codes: D90 D92 (search for similar items in EconPapers)
Pages: 17 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:att:wimass:9618

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