Results 191 to 200 of about 1,026,011 (234)
The Consumption Based Capital Asset Pricing Model, Regime Shifts, And The Japanese Economy [PDF]
Studies in Economics and Finance, 2002 Like 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.
E. Tylor Claggett, H.J. Smoluk
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Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model [PDF]
Review of Finance, 2000 Under the assumptions of the Consumption-based Capital Asset Pricing Model (CCAPM), Pareto optimal consumption allocations are characterized by each agent's consumption process being adapted to the filtration generated by the aggregate consumption process of the economy.
Christensen, Peter Ove +2 more
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Are consumption-based intertemporal capital asset pricing models structural?
Journal of Econometrics, 1990 Abstract Hansen and Singleton (1982) and Dunn and Singleton (1986) have found supporting evidence for the overidentifying restrictions of two empirical consumption-based asset pricing models, when estimated with a particular set of single asset returns.
Eric Ghysels, Alastair R. Hall
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The consumption-based capital asset pricing model: International evidence
Journal of Multinational Financial Management, 1998 Abstract This paper modifies the consumption-based capital asset pricing model (CCAPM) to allow for the possibility that households have finite horizons. Introducing finite horizons into CCAPM does not enhance its ability to account for real-world data. Risk is priced identically whether horizons are finite or infinite.
Paul Evans, Iftekhar Hasan
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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.
Ravi Jagannathan
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Consumption-based capital asset pricing models: issues and controversies
Review of Quantitative Finance and Accounting, 2017 This 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.
Wonnho Choi
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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.
Petr Zemčı́k
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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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A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
Mathematical Finance, 1993 This 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 ...
Knut K. Aase
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