Results 221 to 230 of about 155,719 (276)
Approximate CAPM when preferences are CRRA. [PDF]
Herings, P. Jean-Jacques, Kubler, Felix
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The epistemological value of the consumption based capital asset pricing model
openaire +1 more source
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
semanticscholar +4 more sources
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
semanticscholar +3 more sources
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
semanticscholar +3 more sources
The Consumption Based Capital Asset Pricing Model, Regime Shifts, And The Japanese Economy
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.
H.J. Smoluk, E. Tylor Claggett
semanticscholar +3 more sources
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
semanticscholar +3 more sources
, 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
semanticscholar +3 more sources
Afro-Asian J. of Finance and Accounting, 2021 Sedighe Alizadeh +2 more
semanticscholar +4 more sources