THE IMPLICATIONS OF NONMARKETABLE INCOME FOR CONSUMPTION-BASED MODELS OF ASSET PRICING

被引:3
作者
BROWN, DP
机构
关键词
D O I
10.2307/2328140
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:867 / 880
页数:14
相关论文
共 15 条
[1]   CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J].
BLACK, F .
JOURNAL OF BUSINESS, 1972, 45 (03) :444-455
[2]   INTERTEMPORAL ASSET PRICING MODEL WITH STOCHASTIC CONSUMPTION AND INVESTMENT OPPORTUNITIES [J].
BREEDEN, DT .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :265-296
[3]   NON-STATIONARITY AND STAGE-OF-THE-BUSINESS-CYCLE EFFECTS IN CONSUMPTION-BASED ASSET PRICING RELATIONS [J].
FERSON, WE ;
MERRICK, JJ .
JOURNAL OF FINANCIAL ECONOMICS, 1987, 18 (01) :127-146
[4]   CONSUMPTION CORRELATEDNESS AND RISK MEASUREMENT IN ECONOMIES WITH NON-TRADED ASSETS AND HETEROGENEOUS INFORMATION [J].
GROSSMAN, SJ ;
SHILLER, RJ .
JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (02) :195-210
[5]   OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS [J].
HAKANSSO.NH .
ECONOMETRICA, 1970, 38 (05) :587-&
[6]   MARKET EQUILIBRIUM IN A MULTIPERIOD STATE PREFERENCE MODEL WITH LOGARITHMIC UTILITY [J].
KRAUS, A ;
LITZENBERGER, RH .
JOURNAL OF FINANCE, 1975, 30 (05) :1213-1227
[8]   NONMARKETABLE ASSETS AND DETERMINATION OF CAPITAL ASSET PRICES IN ABSENCE OF A RISKLESS ASSET [J].
MAYERS, D .
JOURNAL OF BUSINESS, 1973, 46 (02) :258-267
[9]  
MAYERS D, 1976, STUDIES THEORY CAPIT
[10]   INTERTEMPORAL CAPITAL ASSET PRICING MODEL [J].
MERTON, RC .
ECONOMETRICA, 1973, 41 (05) :867-887