Market Demand Functions in the CAPM
Paris School of Economics (PSE)
Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute (Zurich Center)
Freie Universität Berlin
We demonstrate that in a CAPM economy Homogeneity,Walras' Law, and the Tobin Separation Property characterize market demand on finite sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n different beta pricing formulas. Endowment pertubations in these economies cannot decrease the number of equilibria below n.
Number of Pages in PDF File: 15
JEL Classification: C62, D51, G12working papers series
Date posted: February 1, 1997
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