TY - JOUR
T1 - Time preference and capital asset pricing models
AU - Bergman, Yaacov Z.
PY - 1985/3
Y1 - 1985/3
N2 - Results of the theory of individual optimal consumption-investment choice under uncertainty are extended to a class of intertemporally dependent preferences for consumption streams. These results are then used to show that with intertemporally dependent preferences, which are more realistic than the separable time-additive preference structure, Merton's (1973) multi-beta intertemporal capital asset pricing model is still valid, but it can no longer be collapsed to Breeden's (1979) single consumption-beta model.
AB - Results of the theory of individual optimal consumption-investment choice under uncertainty are extended to a class of intertemporally dependent preferences for consumption streams. These results are then used to show that with intertemporally dependent preferences, which are more realistic than the separable time-additive preference structure, Merton's (1973) multi-beta intertemporal capital asset pricing model is still valid, but it can no longer be collapsed to Breeden's (1979) single consumption-beta model.
UR - http://www.scopus.com/inward/record.url?scp=0346846676&partnerID=8YFLogxK
U2 - 10.1016/0304-405X(85)90047-9
DO - 10.1016/0304-405X(85)90047-9
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AN - SCOPUS:0346846676
SN - 0304-405X
VL - 14
SP - 145
EP - 159
JO - Journal of Financial Economics
JF - Journal of Financial Economics
IS - 1
ER -