| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1309 |
| DP1309 Preferential Trading Arrangements and Industrial Location | |
| Anthony Venables; Diego Puga | |
| 发表日期 | 1995-12-31 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | The paper evaluates the ability of asset pricing models that do not use consumption data, and models that use consumption data as a proxy for true consumption, to explain the time-series and cross-sectional variation of expected returns of portfolios of stocks. Although some parameter restrictions are rejected by models that do not use consumption data, we find that they provide economically meaningful estimates of the representative agent's preference parameters and fit the data slightly better than models which use consumption data to proxy true consumption. Models without consumption data are also not rejected when they are augmented to account for the 'size' effect. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing models Consumption Size effect |
| URL | https://cepr.org/publications/dp1309 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530443 |
| 推荐引用方式 GB/T 7714 | Anthony Venables,Diego Puga. DP1309 Preferential Trading Arrangements and Industrial Location. 1995. |
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