Comparative dynamics of an equilibrium intertemporal asset pricing model

John B. Donaldson, Rajnish Mehra

Research output: Contribution to journalArticle

35 Scopus citations

Abstract

This paper uses recursive competitive theory to develop a general equilibrium asset pricing model. In this framework all prices and rates of return are endogenously determined, thus enabling us to analyze the effects of changes in preferences, technological uncertainty, and expectations on the structure of security prices. In particular we focus on how the market risk premium varies with changes in the underlying economic environment, an issue which other asset pricing models have chosen not to address.

Original languageEnglish (US)
Pages (from-to)491-508
Number of pages18
JournalReview of Economic Studies
Volume51
Issue number3
DOIs
Publication statusPublished - 1984
Externally publishedYes

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ASJC Scopus subject areas

  • Economics and Econometrics

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