A Research On The Equilibrium Of Stock Market Based On The Hypotheses Of Rational Expectation And Pure Exchange Economy

Return on net asset is one of the most important ratio when we make decision instock investment. Therefore it can significantly affect stock price. But in Lucus’ study,product which have a tight connection with return on net asset become a key elementin stock price determination instead of return on net asset. In successive study whichwant to refine Lucus’ result, return on net asset was also ignored. In order to simulatethe reality we make investment decision where return on net asset plays a core role,this paper build up a intertemporal consumption model which contains return on netasset under the hypotheses of rational expectation and exchange economy. Thus, aequilibrium equation which contains stock function can be described via Bellmanequation used in dynamic optimization. Finally the equation with stock price functionis solved by the same method as used in solving integral equation.This paper divide return on net asset into two types. One is static and the otherone is dynamic. This paper discusses stock price functions with all of the two typesrespectively. After that, tariff and risk-free asset is added into our model and analysed.Therefore based on original hypotheses this paper can give a way to describe a stockprice function. Besides, studies in this paper evolve by gradually adding real factorswhich we must think about when making investment.