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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 | 2012-03-19T09:30:12Z | - |
dc.date.available | 2012-03-19T09:30:12Z | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | Money Macro Finance Annual Conference, University of Birmingham, 15 - 17 Sep 2011 | en_US |
dc.identifier.uri | http://www.birmingham.ac.uk/schools/business/departments/Accounting-Finance/events/43rd-papers.aspx | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/6308 | - |
dc.description | Copyright @ 2011 University of Birmingham | en_US |
dc.description.abstract | Here a multifactor model of UK stock returns is developed, replac- ingHere a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on US wealth. Two step Instrumental Variables and Generalized Method of Moments estimators are applied to reduce the impact of weak instruments. The standard errors are corrected for the generated regressor problem and the model is found to explain UK excess returns by UK consumption growth and expected US excess returns. Hence, controlling for nominal effects by subtracting a risk free rate and conditioning on real US excess returns provides an appealing explanation of the equity premium puzzle. US excess returns. Hence, controlling for nominal e¤ects by subtracting a risk free rate and conditioning on real US excess returns provides an appealing explanation of the equity premium puzzle. | en_US |
dc.language.iso | en | en_US |
dc.publisher | University of Birmingham | 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 | Wealth reference | en_US |
dc.title | Multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference | en_US |
dc.type | Conference Paper | en_US |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Active Staff | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Brunel Macroeconomics Research Centre | - |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
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11-C-CAPM-ni.pdf | 146.6 kB | Adobe PDF | View/Open |
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