Consumption Based Asset Pricing Models: Theory
نویسندگان
چکیده
منابع مشابه
Consumption-Based Asset Pricing Models
A major research initiative in finance focuses on the determinants of the cross-sectional and time series properties of asset returns. With that objective in mind, asset pricing models have been developed, starting with the capital asset pricing models of Sharpe (1964), Lintner (1965), andMossin (1966). Consumption-based asset pricing models use marginal rates of substitution to determine the r...
متن کاملConsumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملExplaining the Poor Performance of Consumption-based Asset Pricing Models
We show that the external habit-formation model economy of Campbell and Cochrane ~1999! can explain why the Capital Asset Pricing Model ~CAPM! and its extensions are better approximate asset pricing models than is the standard consumptionbased model. The model economy produces time-varying expected returns, tracked by the dividend–price ratio. Portfolio-based models capture some of this variati...
متن کاملThe Consumption - Based Capital Asset Pricing Model
Arrow-Debreu Existence Result Let K be a normed vector lattice with positive cone K+ (see Schaefer (1974)). We consider an Arrow-Debreu (pure exchange) economy 9'= (?, e') in K, with m agents described by preference relations > i on K+ and initial endowments e' E K+. Throughout, we make the usual assumptions on preferences: each >i is reflexive, transitive, complete, convex, continuous, and str...
متن کاملConsumption-Based Asset Pricing with Incomplete Markets
This paper shows that consumption-based asset pricing theory imposes no testable restrictions on either macroeconomic or cross-sectional data if one allows for uninsurable idiosyncratic income shocks which are persistent and not normally distributed. More precisely, this paper shows that any “observed” joint process of arbitrage-free asset prices and payoffs, aggregate consumption, and moments ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.968061