An intertemporal capital asset pricing model under incomplete information and short sales

被引：2
|
作者：
Bellalah, Mondher [1 ,2 ]
Zhang, Detao [3 ]
机构：
[1] Univ Cergy Pontoise, THEMA, Cergy Pontoise, France
[2] ISC Paris Business Sch, Paris, France
[3] Shandong Univ, Sch Econ, Jinan, Shandong, Peoples R China
来源：
ANNALS OF OPERATIONS RESEARCH | 2019年 / 281卷 / 1-2期
关键词：
Inter-temporal capital asset pricing; Information uncertainty; Short sales; CORPORATE INTERNATIONAL INVESTMENT; CONSUMPTION; EQUILIBRIUM;
D O I：
10.1007/s10479-018-2909-9
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper provides the inter-temporal capital asset pricing model with incomplete information and short sales constraints. We derive the general equilibrium market equation and the security market line of the "classical" capital asset pricing model in continuous time in the presence of incomplete information and short sales.
引用
收藏
页码：143 / 159
页数：17
相关论文
共 50 条
  • [31] The capital asset pricing model
    Perold, AF
    JOURNAL OF ECONOMIC PERSPECTIVES, 2004, 18 (03): : 3 - 24
  • [32] Using the Capital Asset Pricing Model in Information Security Investments
    Mosoiu, Ovidiu
    Cioaca, Catalin
    Balaceanu, Ion
    ELEARNING CHALLENGES AND NEW HORIZONS, VOL 4, 2018, : 39 - 46
  • [33] Risk aversion versus intertemporal substitution: A case study of identification failure in the intertemporal consumption capital asset pricing model
    Neely, CJ
    Roy, A
    Whiteman, CH
    JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2001, 19 (04) : 395 - 403
  • [34] FURTHER RESULTS ON ASSET PRICING WITH INCOMPLETE INFORMATION
    DETEMPLE, JB
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1991, 15 (03): : 425 - 453
  • [35] Incomplete and asymmetric information in asset pricing theory
    Back, K
    STOCHASTIC METHODS IN FINANCE, 2005, 1856 : 1 - 25
  • [36] ASSET PRICING IN A PRODUCTION ECONOMY WITH INCOMPLETE INFORMATION
    DETEMPLE, JB
    JOURNAL OF FINANCE, 1986, 41 (02): : 383 - 391
  • [37] Asset pricing with incomplete information and fat tails
    Bidarkota, Prasad V.
    Dupoyet, Brice V.
    McCulloch, J. Huston
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2009, 33 (06): : 1314 - 1331
  • [38] COMPARATIVE DYNAMICS OF AN EQUILIBRIUM INTERTEMPORAL ASSET PRICING MODEL
    DONALDSON, JB
    MEHRA, R
    REVIEW OF ECONOMIC STUDIES, 1984, 51 (03): : 491 - 508
  • [39] The Intertemporal Asset Pricing Model: Evidence for Borsa Istanbul
    Kaya, Emine
    Gongor, Bener
    ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, 2019, 14 (03): : 579 - 595
  • [40] A generalized capital asset pricing model
    Lin, CT
    MODSIM 2003: INTERNATIONAL CONGRESS ON MODELLING AND SIMULATION, VOLS 1-4: VOL 1: NATURAL SYSTEMS, PT 1; VOL 2: NATURAL SYSTEMS, PT 2; VOL 3: SOCIO-ECONOMIC SYSTEMS; VOL 4: GENERAL SYSTEMS, 2003, : 1433 - 1438
12345