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Title: | Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies |
Authors: | Hunter, J Wu, F |
Keywords: | Consumption-CAPM;Excess returns;Generated regressor;GMM;Habits;Panel;Wealth reference |
Issue Date: | 2010 |
Publisher: | Brunel University |
Citation: | Economics and Finance Working Paper, Brunel University, 10-17 |
Abstract: | In this paper we extend the time series analysis to the panel framework to test the C-CAPM driven by wealth references for developed countries. Specifically, 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 ndings of this two-factor model with various specifications all indicate that there is significant unobserved heterogeneity captured by cross-country fixed e¤ects 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. |
URI: | http://bura.brunel.ac.uk/handle/2438/5048 |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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1017[1].pdf | 232.56 kB | Adobe PDF | View/Open |
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