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Market Demand Functions in the CAPM

15 Pages Posted: 1 Feb 1997  

Jean-Marc Bottazzi

Paris School of Economics (PSE)

Thorsten Hens

University of Zurich - Department of Banking and Finance; Norwegian School of Economics and Business Administration (NHH); Swiss Finance Institute (Zurich Center)

Andreas Loeffler

Freie Universit├Ąt Berlin

Date Written: October 1996

Abstract

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.

JEL Classification: C62, D51, G12

Suggested Citation

Bottazzi, Jean-Marc and Hens, Thorsten and Loeffler, Andreas, Market Demand Functions in the CAPM (October 1996). Available at SSRN: https://ssrn.com/abstract=2056 or http://dx.doi.org/10.2139/ssrn.2056

Jean-Marc Bottazzi

Paris School of Economics (PSE) ( email )

48 Boulevard Jourdan
Paris, 75014 75014
France

Thorsten Hens

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 32
Zurich, 8032
Switzerland
+41-44 634 37 06 (Phone)

Norwegian School of Economics and Business Administration (NHH)

Helleveien 30
Bergen, 5045
Norway

Swiss Finance Institute (Zurich Center)

c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Switzerland

Andreas Loeffler (Contact Author)

Freie Universit├Ąt Berlin ( email )

Boltzmannstr. 20
Berlin, 14195
Germany

HOME PAGE: http://www.andreasloeffler.de

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