{"id":559,"date":"1996-06-01T16:04:36","date_gmt":"1996-06-01T13:04:36","guid":{"rendered":"http:\/\/hardouvelis.gr\/?p=559"},"modified":"2023-10-04T16:34:22","modified_gmt":"2023-10-04T13:34:22","slug":"asset-pricing-models-without-consumption-data-empirical-evaluation","status":"publish","type":"post","link":"https:\/\/hardouvelis.gr\/el\/asset-pricing-models-without-consumption-data-empirical-evaluation\/","title":{"rendered":"Intertemporal Asset pricing models with and without consumption data: An empirical evaluation"},"content":{"rendered":"<p class=\"qtranxs-available-languages-message qtranxs-available-languages-message-el\">\u0395\u03b3\u03b3\u03c1\u03b1\u03c6\u03ae \u03b4\u03b9\u03b1\u03b8\u03ad\u03c3\u03b9\u03bc\u03b7 \u03c3\u03c4\u03b1 <a href=\"https:\/\/hardouvelis.gr\/en\/wp-json\/wp\/v2\/posts\/559\" class=\"qtranxs-available-language-link qtranxs-available-language-link-en\" title=\"English\">English<\/a>. For the sake of viewer convenience, the content is shown below in the alternative language. You may click the link to switch the active language.<\/p><p><strong>Intertemporal Asset pricing models with and without consumption data: An empirical evaluation<\/strong><br \/>\nAuthors: Gikas A. Hardouvelis,Dongcheol Kim, Thierry A. Wizman<br \/>\n<em>Journal: Journal of Empirical Finance 3 (1996) 267-301<\/em><\/p>\n<p>Abstract: This paper evaluates the ability of the empirical model of asset pricing of Campbell (1993a,b) to explain the time-series and cross-sectional variation of expected returns of portfolios of stocks. In Campbell&#8217;s model, an alternative risk-return relationship is derived by substituting consumption out of the linearized first-order condition of the representative<br \/>\nagent. We compare this methodology to models that use actual consumption data, such as the model of Epstein and Zin, 1989, 1991, and the standard consumption-based CAPM. Although we find that Campbell&#8217;s model fits the data slightly better than models which explicitly price consumption risk, and provides reasonable estimates of the representative agent&#8217;s preference parameters, the parameter restrictions of the Campbell model, as well as its overidentifying orthogonality conditions, are generally rejected. The parameter restrictions of the Campbell model, and the overidentifying conditions, are marginally not rejected when the empirical model is augmented to account for the &#8220;size effect&#8221;.<\/p>\n<p><a href=\"http:\/\/hardouvelis.gr\/wp-content\/uploads\/2017\/12\/HardouvelisKimWizman1996-1.pdf\">Download Asset Pricing Models with and without Consumptions: An Empirical Evaluation pdf<\/a><\/p>","protected":false},"excerpt":{"rendered":"<p>\u0395\u03b3\u03b3\u03c1\u03b1\u03c6\u03ae \u03b4\u03b9\u03b1\u03b8\u03ad\u03c3\u03b9\u03bc\u03b7 \u03c3\u03c4\u03b1 English. For the sake of viewer convenience, the content is shown below in the alternative language. You<\/p>\n","protected":false},"author":1,"featured_media":4399,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[4,5],"tags":[3251],"yst_prominent_words":[316,304,302,319,311,309,315,306,318,313,307,308,312,314,310,300,317,305,303,301],"class_list":["post-559","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-academic-publications","category-publications-in-refereed-academic-journals","tag-academic-publications"],"acf":[],"_links":{"self":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/559","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/comments?post=559"}],"version-history":[{"count":4,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/559\/revisions"}],"predecessor-version":[{"id":4639,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/posts\/559\/revisions\/4639"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/media\/4399"}],"wp:attachment":[{"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/media?parent=559"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/categories?post=559"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/tags?post=559"},{"taxonomy":"yst_prominent_words","embeddable":true,"href":"https:\/\/hardouvelis.gr\/el\/wp-json\/wp\/v2\/yst_prominent_words?post=559"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}