Results 221 to 230 of about 149,518 (272)
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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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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, 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 De Mello
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Afro-Asian J. of Finance and Accounting, 2021 Sedighe Alizadeh +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.
Éric Ghysels, Alastair R. Hall
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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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Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model
, 2001 Peter Christensen +2 more
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Unemployment-based Capital Asset Pricing Model
, 2020In this paper, we wish to examine how prospects of unemployment might change predictions of consumption based CAPM with regards to equity premium and term structure of interest.
Mikhail Kindrat
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