Lucas asset pricing model
E455411
asset pricing model
consumption-based asset pricing model
intertemporal choice model
macroeconomic model
rational expectations model
representative agent model
The Lucas asset pricing model is a foundational rational expectations framework in macro-finance that explains asset prices through representative-agent intertemporal consumption choices under uncertainty.
All labels observed (1)
| Label | Occurrences |
|---|---|
| Lucas asset pricing model canonical | 1 |
How this entity was disambiguated
This entity first appeared as the object of triple T4586443 — resolving that mention is where its identity was fixed. The disambiguator weighed these candidate entities and picked the highlighted one (or “None”, minting a new entity). This is how homonymy is resolved: the same surface form can point to different entities.
NED1
Entity disambiguation (via context triple)
gpt-5-mini-2025-08-07
Target entity: Lucas asset pricing model Context triple: [Robert Lucas Jr., notableConcept, Lucas asset pricing model]
-
A.
Fama–French three-factor model
The Fama–French three-factor model is a widely used asset pricing framework that extends the traditional CAPM by explaining stock returns through market risk, company size, and value factors.
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B.
Walrasian market-clearing framework
The Walrasian market-clearing framework is a general equilibrium model in which perfectly competitive markets continuously adjust prices so that supply equals demand in all markets simultaneously.
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C.
Fisher separation theorem
The Fisher separation theorem is a foundational result in financial economics stating that a firm's investment decision can be made independently of its owners' consumption preferences, focusing solely on maximizing the present value of the firm.
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D.
The Theory of Corporate Finance
The Theory of Corporate Finance is a comprehensive textbook by economist Jean Tirole that systematically develops modern corporate finance theory using tools from contract theory and information economics.
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E.
Black–Scholes model
The Black–Scholes model is a fundamental mathematical framework in financial economics for pricing options and other derivatives by modeling asset prices as stochastic processes.
- F. None of above. chosen
- G. Unsure - the case is ambiguous/there is not enough information to decide.
NED2
Entity disambiguation (via description)
gpt-5-mini-2025-08-07
Target entity: Lucas asset pricing model Target entity description: The Lucas asset pricing model is a foundational rational expectations framework in macro-finance that explains asset prices through representative-agent intertemporal consumption choices under uncertainty.
-
A.
Fama–French three-factor model
The Fama–French three-factor model is a widely used asset pricing framework that extends the traditional CAPM by explaining stock returns through market risk, company size, and value factors.
-
B.
Walrasian market-clearing framework
The Walrasian market-clearing framework is a general equilibrium model in which perfectly competitive markets continuously adjust prices so that supply equals demand in all markets simultaneously.
-
C.
Fisher separation theorem
The Fisher separation theorem is a foundational result in financial economics stating that a firm's investment decision can be made independently of its owners' consumption preferences, focusing solely on maximizing the present value of the firm.
-
D.
The Theory of Corporate Finance
The Theory of Corporate Finance is a comprehensive textbook by economist Jean Tirole that systematically develops modern corporate finance theory using tools from contract theory and information economics.
-
E.
Black–Scholes model
The Black–Scholes model is a fundamental mathematical framework in financial economics for pricing options and other derivatives by modeling asset prices as stochastic processes.
- F. None of above. chosen
Statements (49)
| Predicate | Object |
|---|---|
| instanceOf |
asset pricing model
ⓘ
consumption-based asset pricing model ⓘ intertemporal choice model ⓘ macroeconomic model ⓘ rational expectations model ⓘ representative agent model ⓘ |
| assumes |
frictionless financial markets
ⓘ
no arbitrage ⓘ perfect competition ⓘ rational expectations about future states ⓘ representative agent with time-separable preferences ⓘ uncertainty about future endowments ⓘ |
| characteristic |
assets are claims to future endowments
ⓘ
prices determined by equilibrium between supply and demand for contingent claims ⓘ representative agent receives stochastic endowment stream ⓘ |
| coreIdea |
asset prices equal discounted expectations of future payoffs
ⓘ
stochastic discount factor equals intertemporal marginal rate of substitution in consumption ⓘ |
| developedBy |
Robert E. Lucas Jr.
ⓘ
linked to:
Robert Lucas Jr.
|
| explains |
determinants of risk premia
ⓘ
pricing of risky assets in general equilibrium ⓘ relationship between consumption and asset returns ⓘ |
| field |
asset pricing
ⓘ
financial economics ⓘ macroeconomics ⓘ |
| goal | derive asset prices from optimal consumption and portfolio choice under uncertainty ⓘ |
| implies |
Euler equation for optimal consumption and portfolio choice
ⓘ
pricing kernel based on marginal utility growth ⓘ |
| influenced |
intertemporal CAPM
ⓘ
macro-finance literature ⓘ modern consumption-based asset pricing ⓘ research on equity premium puzzle ⓘ |
| influencedBy |
Arrow–Debreu general equilibrium theory
ⓘ
expected utility theory ⓘ rational expectations hypothesis ⓘ |
| mathematicalFormulation | general equilibrium with stochastic endowment process ⓘ |
| namedAfter |
Robert E. Lucas Jr.
ⓘ
linked to:
Robert Lucas Jr.
|
| relatedTo |
Arrow–Debreu asset pricing framework
ⓘ
linked to:
Arrow–Debreu model
consumption-based CAPM ⓘ
linked to:
intertemporal capital asset pricing model
intertemporal CAPM ⓘ
linked to:
intertemporal capital asset pricing model
|
| timePeriod | 1970s ⓘ |
| usedFor |
deriving testable implications for asset returns
ⓘ
theoretical benchmark in macro-finance ⓘ |
| usesConcept |
Arrow–Debreu equilibrium
ⓘ
linked to:
Arrow–Debreu model
complete markets ⓘ intertemporal utility maximization ⓘ marginal utility of consumption ⓘ rational expectations ⓘ representative agent ⓘ stochastic discount factor ⓘ |
How these facts were elicited
The pipeline generated the facts above by prompting gpt-5.1 with this entity's name + description and the instruction below.
Instruction
You are a knowledge base construction expert. Given a subject entity and a description of it, return factual statements that you know for the subject as a JSON list of dictionaries(triples), where keys must be "subject", "predicate" and "object". The number of facts may be very high, between 25 to 50 or more, for very popular subjects. For less popular subjects, the number of facts can be very low, like 5 or 10. # Requirements - If you don't know the subject at all, return an empty list. - If the subject is not a named entity, return an empty list. - Include at least one triple where predicate is "instanceOf". - Do not get too wordy. - Separate several objects into multiple triples with one object.
Input
Subject: Lucas asset pricing model Description of subject: The Lucas asset pricing model is a foundational rational expectations framework in macro-finance that explains asset prices through representative-agent intertemporal consumption choices under uncertainty.
Referenced by (1)
Full triples — surface form annotated when it differs from this entity's canonical label.