SFB 303 Discussion Paper No. A-468

Author: Bottazzi, Jean-Marc, Thorsten Hens and András Löffler

Title: Market Demand Functions in the CAPM

Abstract: We demonstrate that in a CAPM economy Walras Law and the Tobin Separation Property characterize market demand on finite sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n different beta pricing fomulas. It is shown that the lower bound on the number of equilibria, n, is robust to pertubations of endowments.

Keywords: CAPM, Market Demand, multiplicity of equilibria.

JEL-Classification-Number: C62, D51, G12.

Creation-Date: March 1995
URL: ../1995/a/bonnsfa468.pdf

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