Don’t break the habit: structural stability tests of consumption asset pricing models in the UK
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چکیده
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15 صفحه اولConsumption-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...
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This paper presents a consumption-based asset pricing model to explain the equity premium and riskfree puzzles as well as the predictability of returns in the international equity markets. We find that because the model entails idiosyncratic consumption risk which is higher than the aggregate consumption risk, the model helps lower the investor risk aversion needed to explain the mean equity pr...
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This paper attempts to provide a survey of asset-pricing models based on the principle of maximization of expected utility. I will begin my analysis by setting out a simplified, discrete-time version of the model that was developed independently by Lucas (1978) and Breeden (1979). Since those studies appeared, intertemporal general-equilibrium models have come to occupy an increasingly importan...
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ژورنال
عنوان ژورنال: Applied Economics Letters
سال: 2005
ISSN: 1350-4851,1466-4291
DOI: 10.1080/1350485042000338662