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Are consumption-based intertemporal capital asset pricing models structural?
Journal of Econometrics, 1990\textit{L. P. Hansen} and \textit{K.J. Singleton} [Econometrika 50, 1269-1286 (1982; Zbl 0497.62098)] and \textit{K. Dunn} and \textit{K.J. Singleton} [J. Financial Econ. 17, 27-55 (1986)] have found supporting evidence for the overidentifying restrictions of two empirical consumption-based asset pricing models, when estimated with a particular set of ...
Ghysels, Eric, Hall, Alastair
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The Consumption Based Capital Asset Pricing Model, Regime Shifts, And The Japanese Economy
Studies in Economics and Finance, 2002Like many industrial nations over the last four decades, the Japanese economy has undergone a number of regime shifts, making parameter estimations difficult. One of the most significant shifts occurred in inflation in the mid 1970s as OPEC suddenly raised oil prices.
H.J. Smoluk, E. Tylor Claggett
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Consumption-based capital asset pricing models: issues and controversies
Review of Quantitative Finance and Accounting, 2017This paper discusses the issues and controversies surrounding consumption-based capital asset pricing models (CCAPMs). While CCAPMs provide a chance to explain the phenomena observed in stock markets, their viability is jeopardized owing to the weak predictability of the equity premium and risk-free rate puzzles.
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The Journal of Finance, 1985
ABSTRACTIn this paper we extend the multigood futures pricing model of Grauer and Litzenberger [9] to a dynamic discrete time setting. We then test the model using data on futures prices for corn, wheat, and soybeans. The parameter estimates we obtain are similar to those obtained by other researchers using stock return data.
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ABSTRACTIn this paper we extend the multigood futures pricing model of Grauer and Litzenberger [9] to a dynamic discrete time setting. We then test the model using data on futures prices for corn, wheat, and soybeans. The parameter estimates we obtain are similar to those obtained by other researchers using stock return data.
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A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
Mathematical Finance, 1993This paper derives the equilibrium excess returns on risky assets in an exchange economy where the underlying exogenous uncertainty is a combination of a pure multidimensional jump process and a diffusion model. We derive closed‐form solutions for the interest rate and the risk premiums on risky assets for a traditional class of separable utility ...
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Journal of Economics and Finance, 2001
A chi-square statistic is constructed that compares variance ratios and mean simple returns from data with those implied by an asset pricing model. The statistic is applied to the Consumption based Capital Asset Pricing Model with time non-separable preferences.
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A chi-square statistic is constructed that compares variance ratios and mean simple returns from data with those implied by an asset pricing model. The statistic is applied to the Consumption based Capital Asset Pricing Model with time non-separable preferences.
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2011
We adopt the habit utility specification of Campbell and Cochrane (1995) to estimate the Australian equity premium: the return on a market portfolio of equities in excess of the risk-free rate.We use Australian quarterly data for private household consumption, population, equity returns, risk-free asset returns, dividend yields and price dividend ...
David E. Allen, Lurion Demello
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We adopt the habit utility specification of Campbell and Cochrane (1995) to estimate the Australian equity premium: the return on a market portfolio of equities in excess of the risk-free rate.We use Australian quarterly data for private household consumption, population, equity returns, risk-free asset returns, dividend yields and price dividend ...
David E. Allen, Lurion Demello
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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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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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An accounting-based asset pricing model and a fundamental factor
Journal of Accounting and Economics, 2022Stephen Penman
exaly