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Chinese consumption and asset returns: An analysis across income groups
Liping, WANG - In: Frontiers of Economics in China 2 (2007) 2, pp. 275-288
The equity premium puzzle is found during the test of the Consumption-based Capital Asset Pricing Model (CCAPM) with … unconstrained (high-income) consumers on the CCAPM using urban consumption expenditures in China delineated by consumer income, and … aggregate consumption data. Because of income disparity, many consumers lack financial assets to intertemporally allocate their …
Persistent link: https://www.econbiz.de/10010934919
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Consumption and Expected Asset Returns without Assumptions About Unobservables
Whelan, Karl - Volkswirtschaftliche Fakultät, … - 2006
that these predictable changes in returns should affect current consumption. This paper presents a new framework linking … consumption, income, and observable assets to expectations of future asset returns. Relative to previous work on this topic, the …
Persistent link: https://www.econbiz.de/10005621669
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Chapter 12. Advances in Consumption-Based Asset Pricing: Empirical Tests
Ludvigson, Sydney C. - 2013
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender … for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset … consumption-based asset pricing theories using formal estimation, hypothesis testing, and model comparison. In addition to …
Persistent link: https://www.econbiz.de/10014025366
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Aggregate Implications of Micro Asset Market Segmentation
Edmond, Chris - 2009
This paper develops a consumption-based asset pricing model to explain and quantify the aggregate implications of a …
Persistent link: https://www.econbiz.de/10013157250
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Advances in Consumption-Based Asset Pricing : Empirical Tests
Ludvigson, Sydney C. - 2011
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender … for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset … consumption-based asset pricing theories using formal estimation, hypothesis testing, and model comparison. In addition to …
Persistent link: https://www.econbiz.de/10013128099
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Consumption in Incomplete Markets
Guasoni, Paolo - 2018
We develop a method to fi nd approximate solutions, and their accuracy, to consumption-investment problems with … consumption of the original incomplete market, and their optimal policies are explicit in typical models. Approximate consumption …
Persistent link: https://www.econbiz.de/10012938053
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The Equity Premium Puzzle and Emotional Asset Pricing
Gürtler, Marc; Hartmann, Nora - Institut für Wirtschaftswissenschaften <Braunschweig> … - 2006
Since the equity premium as well as the risk-free rate puzzle question the concepts centralto financial and economic modeling, we apply behavioral decision theory to asset pricing in view ofsolving these puzzles. U.S. stock market data for the period 1960-2003 and German stock marketdata for the...
Persistent link: https://www.econbiz.de/10005869329
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C-CAPM without Ex Post Data
Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Survey and option data are used to take a fresh look at the equity premium puzzle.Survey data on equity returns (Livingston survey) shows much lower expected excess returns than ex post data. At the same time, option data suggests that investors perhaps overestimate the volatility of equity...
Persistent link: https://www.econbiz.de/10005858345
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The equity premium puzzle and emotional asset pricing
Gürtler, Marc; Hartmann, Nora - 2004
Since the equity premium as well as the risk-free rate puzzle question the concepts central to financial and economic modeling, we apply behavioral decision theory to asset pricing in view of solving these puzzles. U.S. stock market data for the period 1960-2003 and German stock market data for...
Persistent link: https://www.econbiz.de/10010307944
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The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange
Adegboye, Abidemi C. - In: CBN Journal of Applied Statistics 08 (2017) 2, pp. 117-142
In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering … formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with … consumption beta estimates, CCAPM is found to only be relevant for few portfolios in the stock market, with negative betas for the …
Persistent link: https://www.econbiz.de/10011961662