search query: @author Yamamoto, K. / total: 3
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| Author: | Dechert, W. D. Yamamoto, K. |
| Title: | Asset valuation and production efficiency in an overlapping-generations model with production shocks |
| Journal: | Review of Economic Studies
1992 : APR, VOl. 59(2):199, p.389-405 |
| Index terms: | ASSET VALUATION PRODUCTION ECONOMIC EFFICIENCY CAPITAL ASSET PRICING STOCK MARKETS EQUILIBRIUM ANALYSIS |
| Language: | eng |
| Abstract: | The Cass criterion for production efficiency is extended to include uncertainty and it is used to show that a stock market equilibrium in an overlapping-generations model with production uncertainty is efficient. A no-bubbles asset-pricing formula is also developed. Results are compared with Brock's (1982) infinite-lived consumer model and it is shown that the stock market equilibrium in the overlapping-generations model has precisely the same asset valuation as Brock's infinitely-lived agent model. |
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