A Capital Asset Pricing Model Under Stable Paretian by Wang X.-H., Wen Zh.-X.

By Wang X.-H., Wen Zh.-X.

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Extra info for A Capital Asset Pricing Model Under Stable Paretian Distributions in a Pure Exchange Economy

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Of the lowest 100 in 1989, only 29 were still somewhere in the list for 2001. 4 The survey questions cover the household balance sheet in detail. Through use of statistical records derived from tax returns, the survey sample design allows for more efficient and less biased estimates of wealth than are generally feasible through simpler designs, such as multistage area-probability designs. Since 1983 the survey has been conducted on a triennial basis by the Federal Reserve Board in cooperation with the Department of the Treasury.

Between 1989 and 1992, wealth tended to decline by progressively larger amounts for the groups above about the 35th percentile of the wealth distribution, and wealth rose slightly for the next lowest 20 per cent; the next lowest 10 per cent had zero or small wealth in both periods, and the remaining lowest group had its negative net worth increase in absolute value. Change over this period reflects the effects of recession on asset values. From 1992 to 1995, the range of increases spread up to about the 75th percentile; above that point there was an alternating mixture of gains and losses.

5 shows the change from 1989 to 2001. The pairs of dots clustered around the central line of the plots represent 95 per cent confidence intervals for selected percentiles. Between 1989 and 1992, wealth tended to decline by progressively larger amounts for the groups above about the 35th percentile of the wealth distribution, and wealth rose slightly for the next lowest 20 per cent; the next lowest 10 per cent had zero or small wealth in both periods, and the remaining lowest group had its negative net worth increase in absolute value.

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