[This paper finds in closed form a noisy rational expectations equilibrium for a class of economies with many risky assets and analyzes the properties of such equilibria. Because of the various interactions between the assets, phenomena appear that do not arise in models with a single risky asset. For example, an asset's equilibrium price might be decreasing in its own payoff and/or increasing in its own supply; an asset might be a Giffen good; a higher price for an asset (holding other prices fixed) might be "bad news" for the asset's payoff; and even for assets in fixed supply, uncertainty about other assets' supplies may prevent their prices from being fully revealing.]

We consider an Arrow‐Debreu model with agents who have different subjective probabilities. In general, asset prices will depend only on aggregate consumption and the distribution of subjective probabilities in each state of nature. If all agents have identical preferences then an asset with “more dispersed” subjective probabilities will have a lower price than an asset with less dispersed subjective probabilities if risk aversion does not decline too rapidly. It seems that this condition is likely to be met in practice, so that increased dispersion of beliefs will generally be associated with reduced asset prices in a given Arrow‐Debreu equilibrium.

In this paper, we consider two hypotheses for the recent performance of real estate returns. The first is the random event argument that real estate is positively correlated with unanticipated inflation but that structural change in expected returns due to a change in the perceived sensitivity of returns to unanticipated inflation has not taken place. The second is the hedge demand argument that formulates the structural shift hypothesis. The paucity of real estate and other expectations data as well as the general identification problem make it extremely difficult to distinguish between these hypothesis. Our tests consist of estimates of inflation betas for various asset categories overtime as well as estimates of the hedge vector, . Although some support for the hedge argument is found, the results are not strong enough to reject the random event argument and conclude that a decline in the required return on real estate due to a relative increase in inflation beta drove returns during the 1970's.

In this paper, we consider two hypotheses for the recent performance of real estate returns. The first is the random event argument that real estate is positively correlated with unanticipated inflation but that structural change in expected returns due to a change in the perceived sensitivity of returns to unanticipated inflation has not taken place. The second is the hedge demand argument that formulates the structural shift hypothesis. The paucity of real estate and other expectations data as well as the general identification problem make it extremely difficult to distinguish between these hypothesis. Our tests consist of estimates of inflation betas for various asset categories overtime as well as estimates of the hedge vector, S - 1 C . Although some support for the hedge argument is found, the results are not strong enough to reject the random event argument and conclude that a decline in the required return on real estate due to a relative increase in inflation beta drove returns during the 1970's.

The article presents information on content of general price level earnings. The criticism of the use of a binomial test in which the author compare the number of cases in which the General Price Level (GPL) correlation coefficients exceed the historical cost (HC) coefficients, are correct. The problem with the test is that the observations are not independent. The results clearly indicate that, in the tests that we conducted, GPL earnings outperfouued HC earnings. The authors present results for the difference between GPL correlations and HC correlations. Based on the results in this table, the conclusions of this paper are criticized. The test is performed for three earnings ratios-net income to common equity, net income to market value of common equity and net income plus depreciation to market value of common equity. In addition, the test is performed for three portfolio sizes-individual securities, portfolios of five securities and portfolios often securities. The results for two out of the three earnings definitions, reveal that GPL earnings outperform HC earnings at the five percent significance level.