AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL
@article{Merton1973ANIC, title={AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL}, author={R. C. Merton}, journal={Econometrica}, year={1973}, volume={41}, pages={867-887} }
An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time. Explicit demand functions for assets are derived, and it is shown that, unlike the one-period model, current demands are affected by the possibility of uncertain changes in future investment opportunities. After aggregating demands and requiring market…
5,841 Citations
An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities
- Economics
- 1979
Capital Asset Pricing in a General Equilibrium Framework
- EconomicsJournal of Financial and Quantitative Analysis
- 1978
The striking and powerful conclusions of the capital asset pricing model (CAPM) [13,8] arise from imposing the requirement that optimal individual portfolio decisions must be consistent with a market…
The Intertemporal Capital Asset Pricing Model with Time-Varying Conditional Covariances
- Economics
- 2013
Merton (1973) derives an intertemporal capital asset pricing model (ICAPM) and that has formed the basis for much empirical research. The model predicts that an asset's expected return depends on its…
Capital Asset Pricing for Markets with Intensity Based Jumps
- Economics
- 2006
This paper proposes a unified framework for portfolio optimization, derivative pricing, modeling and risk measurement in financial markets with security price processes that exhibit intensity based…
CAPITAL ASSET PRICING MODEL
- Economics, Business
- 2013
The capital asset pricing model (CAPM) of William Sharpe (1964) and John Lintner (1965) marks the birth of asset pricing theory (resulting in a Nobel Prize for Sharpe in 1990). Four decades later,…
Intertemporal production and asset pricing: a duality approach
- Economics
- 2003
This paper analyzes a firm's intertemporal optimization problem under uncertainty and presents a new asset pricing model from the vantage point of the production side of the economy using the duality…
Intertemporal Asset Pricing: Preliminary Evidence from an Emerging Economy
- Economics, Business
- 2013
In this paper, we test a simple Merton-style (1973) intertemporal capital asset pricing model (ICAPM) by allowing for time variations in certain key state variables for a sample of firms listed on…
Intertemporal CAPM and the Cross-Section of Stock Returns
- Economics
- 2002
This paper examines whether the historically high returns associated with the size effect, the book-to-market effect, and the momentum effect can be explained within an asset pricing framework…
Intertemporal Asset Pricing with Heterogeneous Consumers and without Demand Aggregation
- Economics
- 1982
Consumer heterogeneity raises two problems in the derivation of the intertemporal asset-pricing model. First, it is implausible to assume that all assets' returns are multivariate normal (or exhibit…
References
SHOWING 1-10 OF 52 REFERENCES
THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS
- Economics
- 1965
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
- Economics
- 1964
One of the problems which has plagued thouse attempting to predict the behavior of capital marcets is the absence of a body of positive of microeconomic theory dealing with conditions of risk/…
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
- Economics
- 1969
OST models of portfolio selection have M been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model…
Capital Markets: Theory and Evidence
- Economics
- 1972
This paper is a review of the foundations and current state of mean-variance capital market theory. This work, whose foundations lie in the mean-variance portfolio model of Markowitz, deals with…
Portfolio Theory and Capital Markets
- Economics
- 1970
William Sharpe's influential Portfolio Theory and Capital Management is as relevant today as when it was first published in 1970. McGraw-Hill is proud to reintroduce tiffs hard-to-Find classic in its…
A Compound Events Model for Security Prices
- Mathematics
- 1967
A model for the distribution of security price changes is proposed. The model is similiar to previous analyses of stock market price behavior in that logged price changes are assumed to be…
Some Aspects of the Pure Theory of Corporate Finance: Bankruptcies and Take-Overs: Reply
- Economics, Business
- 1972
This paper considers the implications of bankruptcies, take-overs, and divergent expectations for the financial policy of the firm; we argue that, under reasonable assumptions, there is an optimal…
Capital Growth and the Mean-Variance Approach to Portfolio Selection
- EconomicsJournal of Financial and Quantitative Analysis
- 1971
Three main approaches to the problem of portfolio selection may be discerned in the literature. The first of these is the mean-variance approach, pioneered by Markowitz [21], [22], and Tobin [30].…
Some Aspects of the Pure Theory of Corporate Finance: Bankruptcies and Take-Overs: Comment
- Economics
- 1975
In a recent paper in this Journal, Stiglitz purports to show that leverage may affect the value of the firm in competitive capital markets if the possibility of bankruptcy and the differential…