An empirical investigation of asset pricing with temporally dependent preference specifications.
Using a Simulated Method of Moments approach, I evaluate a representative consumer asset pricing model in which the consumer is assumed to have time nonseparable preferences of several forms. Examining the model's implications for several moments of asset returns, I find evidence for the local subst...
| Publicado en: | Econometrica Vol. 63; pp. 681 - 718 |
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| Formato: | Artículo |
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Wiley-Blackwell
May 1995
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=512616610&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 512616610 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: N pubinfo: dt: May 1995 vid: 63 pid: 480 pub: Wiley-Blackwell artinfo: ui: 512616610 10.2307/2171913 ppf: 681 ppct: 37 formats: tig: atl: An empirical investigation of asset pricing with temporally dependent preference specifications. aug: au: Heaton, John su: Consumer preferences Mathematical models Assets (Accounting) Pricing Time & economic reactions Mathematical models of economics Substitution (Economics) sug: subj: Consumer preferences Mathematical models Assets (Accounting) Pricing Time & economic reactions Mathematical models of economics Substitution (Economics) keyword: Asset pricing theory ab: Using a Simulated Method of Moments approach, I evaluate a representative consumer asset pricing model in which the consumer is assumed to have time nonseparable preferences of several forms. Examining the model's implications for several moments of asset returns, I find evidence for the local substitution of consumption with habit formation occurring over longer periods of time. The interaction between these two effects is important. I also show that, when accounting for sampling error, a model with local substitution and long-run habit persistence is consistent with the Hansen and Jagannathan (1991) bounds. Reprinted by permission of the Econometric Society. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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