Abstract
This paper surveys an intertemporal general equilibrium theory of capital asset pricing. It is an attempt to put together ideas from the literatures on modern finance, stochastic growth models, and general equilibrium theory. In this way we shall obtain a theory capable of addressing general equilibrium questions such as the following: What is the impact of an increase in the corporate income tax on the relative prices of risky stocks? What is the impact of an increase in progressivity of the personal income tax on the relative price structure of risky assets? This paper discusses only recent literature that is closely related to my own work. Hence it should be read with this disclaimer in mind Furthermore, because of space limitations, theorems and proofs will be loosely stated.
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