Comparing Consumption Based Asset Pricing Models

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Comparing Consumption-Based Asset Pricing Models

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Author : Yum K. Kwan
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (13 download)

Book Synopsis Comparing Consumption-Based Asset Pricing Models by : Yum K. Kwan

Download or read book Comparing Consumption-Based Asset Pricing Models written by Yum K. Kwan and published by . This book was released on 2014 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eight consumption-based asset pricing models are developed, estimated and compared their capacities in accounting for the asset markets in Hong Kong. Results based on conventional metrics or recently developed econometric techniques deliver similar results: introducing housing into the consumption-based models does not always improve the models' performance; how it is introduced matters. Recursive utility model and its housing-augmented variant, which emphasize the importance of early resolution of uncertainty and long term risk, outperform alternative models in forecasting stock returns. Collateral constraint model outperforms in predicting housing return, suggesting the importance of imperfect capital market in the housing market.

Asset Pricing

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Author : Bing Cheng
Publisher : World Scientific
ISBN 13 : 9812704558
Total Pages : 91 pages
Book Rating : 4.8/5 (127 download)

Book Synopsis Asset Pricing by : Bing Cheng

Download or read book Asset Pricing written by Bing Cheng and published by World Scientific. This book was released on 2008 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.

Multifactor Consumption Based Asset Pricing Models Using the US Stock Market as a Reference

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Author : John Hunter
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (13 download)

Book Synopsis Multifactor Consumption Based Asset Pricing Models Using the US Stock Market as a Reference by : John Hunter

Download or read book Multifactor Consumption Based Asset Pricing Models Using the US Stock Market as a Reference written by John Hunter and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we extend the time series analysis to the panel frame-work to test the C-CAPM driven by wealth references for developed countries. Speciጿically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error components. The empirical fiĳndings of this two-factor model with various speciጿications all indicate that there is signiጿicant unobserved heterogeneity captured by cross-country ጿixed effects when consumption growth is treated as a common factor, of which the average risk aversion coefficient is 4.285. However, the cross-sectional impact of home consumption growth varies dramatically over the countries, where unobserved heterogeneity of risk aversion can also be addressed by random effects.

Frontiers of Business Cycle Research

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Author : Thomas F. Cooley
Publisher : Princeton University Press
ISBN 13 : 9780691043234
Total Pages : 452 pages
Book Rating : 4.0/5 (432 download)

Book Synopsis Frontiers of Business Cycle Research by : Thomas F. Cooley

Download or read book Frontiers of Business Cycle Research written by Thomas F. Cooley and published by Princeton University Press. This book was released on 1995-02-26 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to modern business cycle theory uses a neoclassical growth framework to study the economic fluctuations associated with the business cycle. Presenting advances in dynamic economic theory and computational methods, it applies concepts to t

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

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Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Advances in Consumption-Based Asset Pricing: Empirical Tests

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Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (99 download)

Book Synopsis Advances in Consumption-Based Asset Pricing: Empirical Tests by :

Download or read book Advances in Consumption-Based Asset Pricing: Empirical Tests written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

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Author : G. Gregoriou
Publisher : Springer
ISBN 13 : 0230298109
Total Pages : 277 pages
Book Rating : 4.2/5 (32 download)

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.

Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model

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Author : Amlan Roy
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (322 download)

Book Synopsis Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model by : Amlan Roy

Download or read book Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model written by Amlan Roy and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays in Consumption-based Asset Pricing Models

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Author : Hugo Alejandro Garduño Arredondo
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (232 download)

Book Synopsis Essays in Consumption-based Asset Pricing Models by : Hugo Alejandro Garduño Arredondo

Download or read book Essays in Consumption-based Asset Pricing Models written by Hugo Alejandro Garduño Arredondo and published by . This book was released on 2008 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

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Author : Dirk Krueger
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.0/5 ( download)

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.

Consumption-Based Asset Pricing, Part 2

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Author : Douglas T. Breeden
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

Book Synopsis Consumption-Based Asset Pricing, Part 2 by : Douglas T. Breeden

Download or read book Consumption-Based Asset Pricing, Part 2 written by Douglas T. Breeden and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Following Part 1 of this article, which reviews late-1970s to 1990s classic derivations and tests of the consumption capital asset pricing model, here in Part 2 we review more recent developments, some of which are based on utility functions with non-time-separable preferences. Important second-generation consumption-based asset pricing advances are also reviewed, including models with habit formation and long-run risk. These models give large cyclical changes in relative risk aversion and risk premiums as well as lagged impacts of aggregate consumption changes on risk premiums. We review asset pricing with rare disasters and models focused on consumer spending on durables and real estate, as well as the fraction of spending financed by labor income. The second-generation models discussed have more free parameters and fit the empirical data better than did the first-generation consumption-based asset pricing models.

Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model

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Author : Amlan Roy
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

Book Synopsis Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model by : Amlan Roy

Download or read book Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model written by Amlan Roy and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a newly constructed data-set from original sources, Consumption Based Capital Asset Pricing Model (CCAPM) tests across developed nations (Japan, USA and Germany) in three continents (Asia, America, Europe) reveal very similar results on model performance. The study uses quarterly data over a longer time span than previous studies. The results and test procedure are consistent with those in an earlier study over a shorter period by Hansen- Singleton (1982). The parameter estimates of the discount factor and the coefficient of relative risk-aversion are strikingly similar across the three countries. The study finds the existence of an equity-premium. Moreover the fact that the equity- premium remains unexplained by CCAPM i.e; a puzzle, is another interesting finding. The study finds no stronger support in Japan for the model than in the US as claimed in a paper by Hamori (1992). This is consistent with the view that a combination of frictions and different utility specifications may be more consistent with international evidence. Higher order moments and other aspects of consumption data in these countries are also being studied in further work.

Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model

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Author : Amlan Roy
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (246 download)

Book Synopsis Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model by : Amlan Roy

Download or read book Multicountry Comparisons of the Consumption Based Capital Asset Pricing Model written by Amlan Roy and published by . This book was released on 1995 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asset Pricing Models with and Without Consumption Data

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Author : Gikas A. Hardouvelis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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"

The Predictability Implied by Consumption-Based Asset Pricing Models

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Author : Jiun-Lin Chen
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)

Book Synopsis The Predictability Implied by Consumption-Based Asset Pricing Models by : Jiun-Lin Chen

Download or read book The Predictability Implied by Consumption-Based Asset Pricing Models written by Jiun-Lin Chen and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The consumption-based models have a lack of predictive power for explaining variability of stock returns. This paper examines two well-known models, Campbell and Cochrane (1999)'s habit model and Bansal and Yaron (2004)'s long-run risks model, to see whether they produce a significant power of return predictability. For the habit model, empirical tests reveal that the state variable, the surplus consumption ratio, explains counter-cyclical time-varying expected returns. The long-run risks model also proves to explain that main sources of volatility in price-dividend ratio are a persistent and predictable consumption growth rate and fluctuating economic uncertainty. The models are also tested by following the work of Kirby (1998) whether they can explain the observed return predictability. Both models fail to generate any significant predictive power. The habit model is relatively strong in volatility, which implies that variation in expected excess return is largely attributable to the time-varying risk aversion.

Estimating the Continuous Time Consumption Based Asset Pricing Model

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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

An Empirical Investigation of Consumption-based Asset Pricing Models with Stochastic Habit Formation

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Author : Qiang Dai
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (839 download)

Book Synopsis An Empirical Investigation of Consumption-based Asset Pricing Models with Stochastic Habit Formation by : Qiang Dai

Download or read book An Empirical Investigation of Consumption-based Asset Pricing Models with Stochastic Habit Formation written by Qiang Dai and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: