This paper examines the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers. The author develops a general method for constructing equilibrium prices and applies it to various examples. The key idea is that equilibrium asset prices depend on the physical state of the economy and follow a functional equation that generalizes the Martingale property of stochastic price sequences. This property is central to the concept of market efficiency, as defined by Fama and others. The analysis assumes that prices "fully reflect all available information," a hypothesis known as rational expectations. The paper shows that the Martingale property is consistent with rational expectations and that the failure of a price series to possess this property can be viewed as evidence of non-competitive behavior. The author also discusses the stability of equilibrium and provides examples, including linear utility and one-asset cases, to illustrate the relationship between productivity changes and asset prices. The paper concludes that the Martingale property is not necessarily consistent with diminishing marginal rates of substitution of future for current consumption. The study contributes to the understanding of asset pricing in a dynamic economic environment.This paper examines the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers. The author develops a general method for constructing equilibrium prices and applies it to various examples. The key idea is that equilibrium asset prices depend on the physical state of the economy and follow a functional equation that generalizes the Martingale property of stochastic price sequences. This property is central to the concept of market efficiency, as defined by Fama and others. The analysis assumes that prices "fully reflect all available information," a hypothesis known as rational expectations. The paper shows that the Martingale property is consistent with rational expectations and that the failure of a price series to possess this property can be viewed as evidence of non-competitive behavior. The author also discusses the stability of equilibrium and provides examples, including linear utility and one-asset cases, to illustrate the relationship between productivity changes and asset prices. The paper concludes that the Martingale property is not necessarily consistent with diminishing marginal rates of substitution of future for current consumption. The study contributes to the understanding of asset pricing in a dynamic economic environment.