Review of Economic Studies Vol. 59 No. 2 1992
Asset Valuation and Production Efficiency in an Overlapping-Generations Model with Production Shocks
Abstract
This paper extends the Cass criterion for production efficiency to include uncertainty and uses it to show that a stock market equilibrium in an overlapping-generations model with production uncertainty is efficient. It also develops a no-bubbles asset-pricing formula. 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.
- DOI
- 10.2307/2297960
- Volume
- 59
- Issue
- 2
- Pages
- 389
- Sources
- bibtex:phds-export.bib openalex crossref