Author: Richard Howard CohenPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Testing the Consumption-based Capital Asset Pricing Model for Business-cycle Related Effects
Author: Richard Howard CohenEmpirical Test of the Capital Asset Pricing Model and the Predictability of Business Cycles Using Financial Variables
Author: Janet Xiuqing HePublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 200
Book Description
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
Author: G. GregoriouPublisher: Springer
ISBN: 0230298109
Category : Business & Economics
Languages : en
Pages : 277
Book Description
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.
Testing the Capital Asset Pricing Model on Aggregate UK Data
Author: Christopher GreenPublisher:
ISBN:
Category : Economics
Languages : en
Pages :
Book Description
Tests of the Conditional Asset Pricing Model
Author: Stuart HydePublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains information about future economic activity as implied by the benchmark time separable power utility consumption based capital asset pricing model (C-CAPM) since the yield spread has forecasting power for future consumption growth. Further, we analyze the ability of this benchmark and two alternative models which adopt utility functions characterized by non-separability, namely, the extension to the habit formation model of Campbell and Cochrane (1999) proposed by Wachter (2006) and the housing C-CAPM proposed by Piazzesi et al. (2007). Our findings are supportive of the habit formation specification of Wachter (2006), other models fail to yield economically plausible parameter values.
Nonstationarity and Stage of the Business Cycle Effects in Consumption Based Asset Pricing Relations
Author: Wayne FersonPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 40
Book Description
Financial Markets and the Real Economy
Author: John H. CochranePublisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117
Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Testing Habits in an Asset Pricing Model
Author: Melisso BoschiPublisher:
ISBN:
Category :
Languages : en
Pages : 30
Book Description
We develop a model of asset pricing assuming that investor's behavior is habit forming. The model predicts that the effect of consumption growth shocks on the risk premium depends on the business cycle phase of the economy. This empirical implication is tested with a Markov-switching VAR model on the US postwar economy.The results show that the response of the risk premium to shocks to consumption is not significantly different over the business cycle phases of the economy. We interpret this as evidence against the habit formation hypothesis of the investor's behavior.
The Consumption-based Capital Asset Pricing Model
Author: Darrell DuffiePublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 23
Book Description
Consumption-Based Asset Pricing, Part 1
Author: Douglas T. BreedenPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This article, Part 1 of 2, reviews the classical origins, development, and tests of consumption-based asset pricing theory, focusing mainly on the first two decades from 1976 to 1998. Starting with the original consumption capital asset pricing model (CCAPM) derivations, we review both theory and subsequent tests and provide some new applications. The consumption aggregation theorem and CCAPM are derived, and optimal consumption and portfolio strategies are discussed. The term structure of interest rates is derived from the term structures for expected growth, volatility, and inflation. Time aggregation biases in consumption betas as well as the usefulness of the “consumption-mimicking portfolio” are also derived. In addition to various empirical tests, models and tests of limited participation in asset markets as well as models of incomplete markets are presented. When certain measurement issues are taken into account, the CCAPM performs better than the original CAPM and nearly as well as the Fama-French three-factor model.