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DC Field | Value | Language |
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dc.contributor.author | Hunter, J | - |
dc.contributor.author | Wu, F | - |
dc.date.accessioned | 2011-04-18T09:46:19Z | - |
dc.date.available | 2011-04-18T09:46:19Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 10-17 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/5048 | - |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Brunel University | en_US |
dc.subject | Consumption-CAPM | en_US |
dc.subject | Excess returns | en_US |
dc.subject | Generated regressor | en_US |
dc.subject | GMM | en_US |
dc.subject | Habits | en_US |
dc.subject | Panel | en_US |
dc.subject | Wealth reference | en_US |
dc.title | Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies | en_US |
dc.type | Research Paper | en_US |
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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