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http://bura.brunel.ac.uk/handle/2438/951| Title: | GMM and present value test of the C-CAPM under transactions costs: Evidence from the UK stock market |
| Authors: | Gregoriou, A Ioannidis, C |
| Keywords: | Asset Pricing, Bid-Ask spreads, GMM, VAR. |
| Issue Date: | 2003 |
| Publisher: | Brunel University |
| Citation: | Economics and Finance Working papers, Brunel University, 03-01 |
| Abstract: | In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and secondly, the VAR approach proposed by Campbell and Shiller is extended to include the bid-ask spread. Overall the statistical tests are unable to reject the bid-ask spread as an independent explanatory variable in the C-CAPM. This leads to the conclusion that transactions costs should be included in asset pricing models. |
| URI: | http://bura.brunel.ac.uk/handle/2438/951 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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