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Asset pricing in a production economy with Chew–Dekel preferences

✍ Scribed by Claudio Campanale; Rui Castro; Gian Luca Clementi


Book ID
113873530
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
720 KB
Volume
13
Category
Article
ISSN
1096-0929

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Security prices and physical stocks of capital are determined jointly in a rational expectations economy as functions of a set of exogenous stochastic factors. Investors employ firm marginal productivity of capital to allocate savings across firms. Firm capital stocks adjust to exogenous shocks acro