MARKET DEMAND-FUNCTIONS IN THE CAPITAL-ASSET PRICING MODEL

Authors
BOTTAZZI JM HENS T LOFFLER A
Citation
Jm. Bottazzi et al., MARKET DEMAND-FUNCTIONS IN THE CAPITAL-ASSET PRICING MODEL, Journal of economic theory (Print), 79(2), 1998, pp. 192-206
Citations number
31
Categorie Soggetti
Economics
Journal title
Journal of economic theory (Print) → ACNP
ISSN journal
00220531
Volume
79
Issue
2
Year of publication
1998
Pages
192 - 206
Database
ISI
SICI code
0022-0531(1998)79:2<192:MDITCP>2.0.ZU;2-#
Abstract
We demonstrate that in a CAPM economy Homogeneity, Walras' Law, and th e Tobin Separation Property characterize market demand on finite sets of prices. Consequently, for any number n there exist CAPM economies w hich have at least n equilibria and hence have n different beta pricin g formulas. Endowment perturbations in these economies cannot decrease the number of equilibria below n. (C) 1998 Academic Press.