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...

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Publicado en:	Econometrica Vol. 63; pp. 681 - 718
Autor principal:	Heaton, John
Formato:	Artículo
Publicado:	Wiley-Blackwell May 1995
Materias:	Consumer preferences Mathematical models Assets (Accounting) Pricing Time & economic reactions Mathematical models of economics Substitution (Economics)
Acceso en línea:	Ver este registro en EBSCOhost