Essays in capital market theory.
Item
-
Title
-
Essays in capital market theory.
-
Identifier
-
AAI8914797
-
identifier
-
8914797
-
Creator
-
Tessitore, Anthony.
-
Contributor
-
Adviser: Harry Markowitz
-
Date
-
1988
-
Language
-
English
-
Publisher
-
City University of New York.
-
Subject
-
Economics, Finance | Economics, Theory
-
Abstract
-
The dissertation consists of essays in capital market theory.;Essay 1 is concerned with the relationship between discrete-time and continuous-time consumption asset pricing models. A common interpretation of a continuous-time equilibrium is the limit of a discrete-time equilibrium as the trading interval approaches zero. The first work provides an extremely transparent proof of this assertion. Relying upon a quadratic approximation, the work derives the continuous-time, consumption asset pricing equation with fewer restrictions than is commonly believed needed.;Essay 2 considers the problem of asset pricing from a new perspective. All equilibrium models of asset pricing assume that agents may choose consumption and investment amounts synchronously. The work takes an alternative view by assuming that agents have decided not to decide upon consumption until some date T in the future arrives. In the interim, investors may revise their investments only. The objective of the work is to derive the equilibrium pricing implications of such a structure. From a normative perspective, the model analyzed is not new, but it seems that no one has looked at the structure from a positive viewpoint. The essay relates its interesting findings to recent empirical anomalies in short-term asset pricing relationships.;In the last essay of this dissertation we develop implications of the model described in essay 2 for a class of utility functions. Here, it is demonstrated that a particular class of utility functions permits multi-period portfolio separation and utility aggregation. Thus, the work represents an extension to multi-period economies of classic, single-period results. The essay also examines the types of probability distributions of asset prices that may or may not obtain in financial market equilibriums. Assuming that investors make lognormal assessments of future cash flows in the economy, the chapter derives the implied probability density function of asset prices associated with a class of utility functions. Since little work has appeared relating exogenous structural restrictions to endogenous distributions of equilibrium prices, the work represents an interesting first look at a potentially important area.
-
Type
-
dissertation
-
Source
-
PQT Legacy CUNY.xlsx
-
degree
-
Ph.D.
