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Do CAPM results hold in a dynamic economy? A numerical analysis

  • Published:1997-06 Issue:6 Volume:21 Page:981-1003
  • ISSN:0165-1889
  • Container-title:Journal of Economic Dynamics and Control
  • language:en
  • Short-container-title:Journal of Economic Dynamics and Control

Author:

Akdeniz Levent,Dechert W.Davis

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference16 articles.

1. A note on a new class of solutions to dynamic programming problems arising in economic growth;Benhabib;Journal of Economic Dynamics and Control,1994

2. An Integration of Stochastic Growth Theory and the Theory of Finance — Part 1: The Growth Model;Brock,1979

3. Asset Prices in a Production Economy;Brock,1982

4. Optimal economic growth and uncertainty: the discounted case;Brock;Journal of Economic Theory,1972

5. By force of habit: a consumption based explanation of aggregate stock market behavior;Campbell;Yale University Working paper,1994

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1. On the performance of West’s bubble test: A simulation approach;Applied Mathematics and Computation;2010-12

2. Asset pricing with loss aversion;Journal of Economic Dynamics and Control;2008-10

3. The equity premium in Brock's asset pricing model;Journal of Economic Dynamics and Control;2007-07

4. Are stock prices too volatile to be justified by the dividend discount model?;Physica A: Statistical Mechanics and its Applications;2007-03

5. Asset pricing with dynamic programming;Computational Economics;2007-01-06
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