Convocatoria Programa de Desarrollo Académico de los Estudiantes de Economía de la UCR (PDA) II-2025
La Escuela de Economía invita a quienes se graduaron
This paper develops an equilibrium asset pricing framework that allows for investor aggregation, and assumes a log-normally distributed aggregate endowment growth. This framework allows me to derive the equilibrium risk free rate, the expected market return, and expected returns for individual securities. To test how reasonable the results are, I use data of several developed economies from Campbell (2003, 2017) to find a median value of relative risk aversion of 1.57, and a time preference rate of 4.58%. The framework allows me to estimate a version of the CAPM and a multi-period pricing model. JEL Codes D53, E10, E21, G12, G13, G30, G32.