Capital asset pricing in an overlapping generations model |
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Authors: | Gur Huberman |
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Institution: | Graduate School of Business, University of Chicago, Chicago, Illinois 60637 USA |
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Abstract: | This paper attempts to contribute to two rapidly growing branches in economic theory: asset pricing and “overlapping generations” models. The model is formulated and it is shown that equilibrium prices exist, and some of their properties are discussed. Then the model is applied to an asymmetric information environment to see if randomness in the number of informed agents could confuse the uninformed. Surprisingly, it could not. |
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