An Intertemporal Equilibrium Beta Pricing Model

An Intertemporal Capital Asset Pricing Model

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Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing

To explain several stylized facts concerning catastrophe-linked securities premium spread, we propose an intertemporal equilibrium model by allowing agents to act in a robust control framework against model misspecification with respect to rare events. We have presented closed-form pricing formulas in some special cases and tested the model using empirical data and simulation. © 2011 Elsevier B...

Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model

We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them ...

Risk and Valuation Under an Intertemporal Capital Asset Pricing Model

We analyze the risk characteristics and the valuation of assets in an economy in which the investment opportunity set is described by the real interest rate and the maximum Sharpe ratio. It is shown that, holding constant the beta of the underlying cash flow, the beta of a security is a function of the maturity of the cash flow. For parameter values estimated from U.S. data, the security beta i...

Property Markets and Policies in an Intertemporal General Equilibrium Model