Title: Consumption-based capital asset pricing models; empirical evidence from the Austrian capital market
Language: English
Authors: Wilfinger, Katharina 
Qualification level: Diploma
Keywords: Konsumbasiertes CAPM; Stochastischer Diskontfaktor; Asset Pricing Puzzles; Verallgemeinerte Momentenmethode
consumption-based CAPM; stochastic discount factor; asset pricing puzzles; generalized method of moments
Advisor: Scherrer, Wolfgang
Issue Date: 2011
Number of Pages: 82
Qualification level: Diploma
Abstract: 
Using Austrian data, two consumption-based capital asset pricing models were empirically tested and estimated in this study, namely the simple power utility model first introduced by Mehra and Prescott and Abel's more general "Catching up with the Joneses". First of all, the performance of these models using historical averages and reasonable values of the relative risk aversion coefficient was examined. In addition, the model parameters were formally estimated using the generalized method of moments approach as suggested by Hansen and the overall fit of the models was tested by Hansen's J test. Additionally, this empirical study examines whether the used time series satisfy the necessary model assumptions like a lognormal distribution of returns on a risky asset and consumption growth. In order to be able to adopt the generalized method of moments the underlying stationarity assumptions of the time series was tested.
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-43086
http://hdl.handle.net/20.500.12708/11990
Library ID: AC07810420
Organisation: E105 - Institut für Wirtschaftsmathematik 
Publication Type: Thesis
Hochschulschrift
Appears in Collections:Thesis

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