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Estimating The Consumption Capital Asset Pricing Model Without Consumption Data
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Book Synopsis Estimating the Consumption-capital Asset Pricing Model Without Consumption Data by : Anne- Sofie Reng Rasmussen
Download or read book Estimating the Consumption-capital Asset Pricing Model Without Consumption Data written by Anne- Sofie Reng Rasmussen and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Papers written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimating the Consumption Capital Asset Pricing Model Without Comsumption Data by : Anne-Sofie Reng Rasmussen
Download or read book Estimating the Consumption Capital Asset Pricing Model Without Comsumption Data written by Anne-Sofie Reng Rasmussen and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Sanford J. Grossman Publisher :London : Department of Economics, University of Western Ontario ISBN 13 :9780771406362 Total Pages :33 pages Book Rating :4.4/5 (63 download)
Book Synopsis Estimating the Continuous Time Consumption Based Asset Pricing Model by : Sanford J. Grossman
Download or read book Estimating the Continuous Time Consumption Based Asset Pricing Model written by Sanford J. Grossman and published by London : Department of Economics, University of Western Ontario. This book was released on 1985 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between percapita consumption growth and asset returns. Estimation and testingis complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or unit average of the consumption flow is available. In our paper, we show how to estimate the parameters of interest consistently from the available data by maximum likelihood. We estimate the market's degree of relative risk aversion and the instantaneous covariances of asset yields and consumption using six different data sets. We also test the model's overidentifying restrictions
Book Synopsis Asset Pricing Models with and Without Consumption Data by : Gikas A. Hardouvelis
Download or read book Asset Pricing Models with and Without Consumption Data written by Gikas A. Hardouvelis and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates the ability of the empirical model of asset pricing of Campbell(1993a,b) to explain the time-series and cross-sectional variation of expected returns ofportfolios of stocks. In Campbell's model, an alternative risk-return relationship is derivedby substituting consumption out of the linearized first-order condition of the representativeagent. We compare this methodology to models that use actual consumption data, such asthe model of Epstein and Zin, 1989, 1991, and the standard consumption-based CAPM.Although we find that Campbell's model fits the data slightly better than models whichexplicitly price consumption risk, and provides reasonable estimates of the representativeagent's preference parameters, the parameter restrictions of the Campbell model, as well asits over-identifying orthogonality conditions, are generally rejected. The parameter restrictionsof the Campbell model, and the over-identifying conditions, are marginally not rejectedwhen the empirical model is augmented to account for the "size effect"
Book Synopsis Intertemporal Asset Pricing Without Consumption Data by : Rómulo A. Chumacero E.
Download or read book Intertemporal Asset Pricing Without Consumption Data written by Rómulo A. Chumacero E. and published by . This book was released on 1995 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing in the International Economy by : Mr.José M. Barrionuevo
Download or read book Asset Pricing in the International Economy written by Mr.José M. Barrionuevo and published by International Monetary Fund. This book was released on 1993-02-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification errors introduce a serious downward bias in parameter estimates derived from the standard asset pricing model. For an economic interpretation, an international version of the asset pricing model is presented. The model suggests that by reducing the effect of country specific disturbances, an international measure of consumption growth yields more accurate risk aversion estimates than a national measure. The results of asset pricing tests suggest that risk aversion estimates derived from models constructed for the international measures are economically plausible and close to each other across eight industrialized economies. These results are robust for several asset returns.
Book Synopsis Asset Pricing Theory by : Costis Skiadas
Download or read book Asset Pricing Theory written by Costis Skiadas and published by Princeton University Press. This book was released on 2009-02-09 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
Book Synopsis A Multivariate GARCH in Mean Estimation of the Capital Asset Pricing Model by : S. G. Hall
Download or read book A Multivariate GARCH in Mean Estimation of the Capital Asset Pricing Model written by S. G. Hall and published by . This book was released on 1988 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data by : Dirk Krueger
Download or read book Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data written by Dirk Krueger and published by . This book was released on 2007 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints. These unconstrained households have lower consumption growth rates than all other households in the economy. We use household data on consumption growth from the U.S. Consumer Expenditure Survey to identify unconstrained households, to estimate the pricing kernel implied by these models and evaluate their performance in pricing aggregate risk. We find that for high values of the relative risk aversion coefficient, the limited enforcement pricing kernel generates a market price of risk that is substantially closer to the data than the one obtained using the standard complete markets asset pricing kernel.
Book Synopsis Maximum-likelihood Estimation of the Consumption-based Capital-asset Pricing Model by : Yong-ho Baek
Download or read book Maximum-likelihood Estimation of the Consumption-based Capital-asset Pricing Model written by Yong-ho Baek and published by . This book was released on 1990 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Fat Tails and Spurious Estimation of Consumption-based Asset Pricing Models by : Alexis Akira Toda
Download or read book Fat Tails and Spurious Estimation of Consumption-based Asset Pricing Models written by Alexis Akira Toda and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Tests of the Consumption-Oriented CAPM. by : Douglas T. Breeden
Download or read book Empirical Tests of the Consumption-Oriented CAPM. written by Douglas T. Breeden and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consumption data. The CCAPM is tested using betas based on both consumption and the portfolio having the maximum correlation with consumption. As predicted by the CCAPM, the market price of risk is significantly positive, and the estimate of the real interest rate is close to zero. The performances of the traditional CAPM and the CCAPM are about the same.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by : G. Gregoriou
Download or read book Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures written by G. Gregoriou and published by Springer. This book was released on 2010-12-13 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Book Synopsis The Rise of Digital Money by : Mr.Tobias Adrian
Download or read book The Rise of Digital Money written by Mr.Tobias Adrian and published by International Monetary Fund. This book was released on 2019-07-15 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper marks the launch of a new IMF series, Fintech Notes. Building on years of IMF staff work, it will explore pressing topics in the digital economy and be issued periodically. The series will carry work by IMF staff and will seek to provide insight into the intersection of technology and the global economy. The Rise of Digital Money analyses how technology companies are stepping up competition to large banks and credit card companies. Digital forms of money are increasingly in the wallets of consumers as well as in the minds of policymakers. Cash and bank deposits are battling with so-called e-money, electronically stored monetary value denominated in, and pegged to, a currency like the euro or the dollar. This paper identifies the benefits and risks and highlights regulatory issues that are likely to emerge with a broader adoption of stablecoins. The paper also highlights the risks associated with e-money: potential creation of new monopolies; threats to weaker currencies; concerns about consumer protection and financial stability; and the risk of fostering illegal activities, among others.
