Some results in the CAPM with nontraded endowments

Article Abstract:

There is a positive security market line in the capital assets pricing model (CAPM) when agents hold non-traded endowments. Under this arrangement, higher expected return compensates selection of a higher risk when a systematic risk of an asset is measured by its covariance with the aggregate endowment. A positive security market line is possible because it can be linked to a weighted average of individual marginal rates of substitution. Once the market structure shifts, there is a significant impact on asset prices because equilibrium allocations also change. However, there is a relative price invariance outcome for quadratic preferences. In addition, asset prices are dictated independently of the market structure when agents possess the same discount rate. When agents have CARA utility functions, CAPM with normal distributions also indicates relative price invariance.

Endowments, Capital assets pricing model, Capital asset pricing model

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The market value of information: some experimental results

Article Abstract:

The value of purchased information can be derived by examining trading behavior in an experimental asset market. The market value of such information can be derived by comparing the predictions of three theories of equilibrium behavior with the observed trading behavior in an experimental market. These theories cover three forms of informational efficiency, namely, fully revealing rational expectations equilibrium, private information equilibrium and nonrevealing rational expectations equilibrium.

Portfolio management, Equilibrium (Economics)

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A perspective on the experimental analysis of taxpayer reporting

Article Abstract:

The psychological, economic and theoretical reasons behind tax evasion and the various experimental and nonexperimental approaches to analyzing taxpayer reporting are presented and evaluated in the light of the two previous articles. The limits of experimental economics are explored as are various works dealing with taxpayer reporting.

Analysis, Tax evasion, Financial disclosure

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