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Consumption Based Asset Pricing Models: Empirical Performance
Fatih Guvenen University of Minnesota - Department of Economics; National Bureau of Economic Research (NBER) Hanno N. Lustig UCLA, Anderson School of Management; National Bureau of Economic Research (NBER) February 2007 Abstract: Asset pricing is a branch of financial economics that is rich in puzzles and anomalies - that is, stylized empirical facts not easily explained by the canonical asset pricing models. These range from the equity premium puzzle and the risk-free rate puzzle to the fact that stock returns are highly predictable. This entry discusses different consumption based asset pricing models that have been developed to resolve these puzzles and it evaluates their empirical performance.
Keywords: Equity premium puzzle, asset pricing, Consumption-based asset pricing models JEL Classifications: G12 Working Paper SeriesDate posted: March 08, 2007 ; Last revised: January 20, 2008Suggested CitationContact Information
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