A three-period extension of the CAPM

Helga Habis

Journal of Economic Studies, 2024, vol. 51, issue 9, 200-211

Abstract: Purpose - Our result of this paper aims to indicate that the beta pricing formula could be applied in a long-term model setting as well. Design/methodology/approach - In this paper, we show that the capital asset pricing model can be derived from a three-period general equilibrium model. Findings - We show that our extended model yields a Pareto efficient outcome. Practical implications - The capital asset pricing model (CAPM) model can be used for pricing long-lived assets. Social implications - Long-term modelling and sustainability can be modelled in our setting. Originality/value - Our results were only known for two periods. The extension to 3 periods opens up a large scope of applicational possibilities in asset pricing, behavioural analysis and long-term efficiency.

Keywords: General equilibrium; CAPM; Intertemporal choice; Pareto efficiency; D53; G12; D15 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: A Three-Period Extension of The CAPM (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-11-2023-0640

DOI: 10.1108/JES-11-2023-0640

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