Asset Pricing in an Economy with Production: A “Selective” Survey of Recent Work on Asset-Pricing Models

  • William A. Brock
Part of the Mathematical Concepts and Methods in Science and Engineering book series (MCSENG)


This paper surveys an intertemporal general equilibrium theory of capital asset pricing. It is an attempt to put together ideas from the literatures on modern finance, stochastic growth models, and general equilibrium theory. In this way we shall obtain a theory capable of addressing general equilibrium questions such as the following: What is the impact of an increase in the corporate income tax on the relative prices of risky stocks? What is the impact of an increase in progressivity of the personal income tax on the relative price structure of risky assets? This paper discusses only recent literature that is closely related to my own work. Hence it should be read with this disclaimer in mind Furthermore, because of space limitations, theorems and proofs will be loosely stated.


Utility Function Asset Price Capital Stock Risky Asset Capital Asset Price Model 


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Copyright information

© Plenum Press, New York 1980

Authors and Affiliations

  • William A. Brock
    • 1
    • 2
  1. 1.Department of EconomicsUniversity of ChicagoChicagoUSA
  2. 2.Department of EconomicsUniversity of WisconsinMadisonUSA

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