Time preference and capital asset pricing models

Yaacov Z. Bergman

doi:10.1016/0304-405X(85)90047-9

Time preference and capital asset pricing models

Yaacov Z. Bergman^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

34 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	145-159
Number of pages	15
Journal	Journal of Financial Economics
Volume	14
Issue number	1
DOIs	https://doi.org/10.1016/0304-405X(85)90047-9
State	Published - Mar 1985
Externally published	Yes

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10.1016/0304-405X(85)90047-9

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title = "Time preference and capital asset pricing models",

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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.

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Time preference and capital asset pricing models

Abstract

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