scholarly journals Measuring Time-Varying Economic Fears with Consumption-Based Stochastic Discount Factors

2007 ◽  
Author(s):  
Belen Nieto ◽  
Gonzalo A. Rubio
Keyword(s):  
Time Varying ◽  
Measuring Time ◽  
Discount Factors ◽  
Stochastic Discount Factors

International stochastic discount factors and covariance risk

2021 ◽  
Vol 123 ◽  
pp. 106018
Author(s):  
Nicole Branger ◽  
Michael Herold ◽  
Matthias Muck
Keyword(s):  
Discount Factors ◽  
Stochastic Discount Factors

Sind konsumbasierte Kapitalmarktmodelle mit europäischen Wertpapierrenditen vereinbar?

2011 ◽  
Vol 62 (1) ◽  
Author(s):  
Benjamin R. Auer
Keyword(s):  
Capital Asset Pricing ◽  
Power Utility ◽  
Recursive Preferences ◽  
Asset Return ◽  
Asset Pricing Model ◽  
Discount Factors ◽  
Pricing Errors ◽  
Stochastic Discount Factors ◽  
Pricing Error ◽  
Low Degrees

SummaryThis paper analyses whether the consumption based capital asset pricing model is consistent with asset return data from Denmark, Italy, Norway and Austria. The performance of the CCAPM is evaluated by applying the nonparametric methodology of Hansen and Jagannathan (1991) and adopting five alternative specifications of utility. In addition to standard power utility the recursive preferences model proposed by Epstein and Zin (1989) is adopted. Both internal and external habit formation (persistence) using the models proposed by Constantinides (1990), Abel (1990) and Campbell and Cochrane (1999) are also considered. The findings are evaluated using the test of Burnside (1994) and the pricing error measure of Hansen and Jagannathan (1997). It is found that the majority of models produce stochastic discount factors consistent with the data (at mostly low degrees of risk aversion). As far as the pricing errors of the models are concerned the model incorporating recursive utility can be considered best.

Sign in / Sign up

Export Citation Format

Share Document