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Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility [PDF]
Journal of Econometric Methods, 2020 Abstract Based on the maximum entropy (ME) method, we introduce an information theoretic approach to estimating conditional moment functions with incorporating a theoretical constraint implied from the consumption-based capital asset pricing model (CCAPM).
Tae-Hwy Lee, Millie Yi Mao, Aman Ullah
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The Consumption-Based Capital Asset Pricing Model [PDF]
Econometrica, 1989 The paper provides conditions on the primitives of a continuous-time economy under which there exist equilibria obeying the Consumption-Based Capital Asset Pricing Model (CCAPM). The paper also extends the equilibrium characterization of interest rates of Cox, Ingersoll, and Ross (1985) to multi-agent economies.
Duffie, Darrell, Zame, William
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Modern Economics & Management Forum, 2021 Recently, the Capital Asset Pricing Model has been widely used in the stock market. The traditional Capital Asset Pricing Model has been revised and expanded to the Consumption-based Capital Asset Model. This article does the research in the following ways. Firstly, this article summarizes the Capital Asset Pricing Model and empirical method. Secondly,
Wenlai Yang
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A Re-examination of the Consumption-based Capital Asset Pricing Model: The Case of US and Japan
International Journal of Social Science Studies, 2016 This paper re-tests the classic consumption-based capital asset pricing model (CCAPM) by extending US quarterly samples and adding the Japanese case. Using the generalized method of moments (GMM) methodology developed by Hansen and Singleton (1982), we obtain the following findings.
Chikashi Tsuji
semanticscholar +5 more sources
Tests of the Consumption-Based Capital Asset Pricing Model Using Korean Security Market Data
Korean Journal of Financial Engineering, 2014 Pyung-kee Kim +2 more
semanticscholar +4 more sources
Croatian Economic Survey, 2018 This paper examines the stochastic implications of permanent income hypothesis for speculative prices from a sample of economic data from 1967 to 2017 in the United States.
Chamil W. Senarathne, Wei Jianguo
doaj +2 more sources
An entropic approach to equity market integration and consumption-based capital asset pricing models
, 2018 This study examines the degree of equity market integration and segmentation domestically and internationally. The conventional method on this literature either is subject to the joint hypothesis test problem or lacks the sampling distribution theory needed to make inferences about the integration hypothesis.
Teng‐Tsai Tu
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Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model
Review of Finance, 2000 This paper deals with the consumption-based capital asset pricing model and Pareto optimal consumption allocation. The authors define a concept called dynamically effectively complete markets. It has the property that any consumption plan, which is measurable with respect to aggregate consumption, can be implemented.
Christensen, Peter Ove +2 more
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Comparing of the Efficiency of Capital Asset Pricing Model (CAPM) and Consumption-based Capital Asset Pricing Model (CCAPM) in Tehran Stock Exchange (TSE) [PDF]
مطالعات تجربی حسابداری مالی, 2010 The relation between risk and return, and capital asset pricing is the most basic topics in capital market. Capital Asset Pricing Model (CAPM) was suggested by Lintner and Sharpe in 1965 and has been reformed and criticized since.
F. Rostamian, Sh. Javanbakht
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, 2017 The purpose of this study is to investigate the relationship of some macroeconomic variables and asset returns in the framework of a theoretical and empirical Consumption based Capital Assets Pricing Model (CCAPM); for this purpose, this relationship is investigated through the development of a CCAPM basic model and the importation of imported consumer
Bahrami, Jaber +3 more
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