| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16958 |
| DP16958 Asset Pricing with and without Garbage: The Overlooked Triple-Hypothesis Problem | |
| George Korniotis; Stefanos Delikouras | |
| 发表日期 | 2022-05-09 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Testing consumption-based asset pricing models is a triple hypothesis, which requires selecting the consumption data and examining the assumptions for investor preferences and consumption dynamics. We formalize the triple-hypothesis problem within a GMM framework that relaxes the CRRA assumption, jointly estimates consumption dynamics with Euler equations, and includes the risk-free rate variance as a target moment. We find that consumption measures proposed as alternatives to the BEA consumption (e.g., garbage) do not address the shortcomings of the canonical CRRA model with i.i.d. consumption growth. Instead, a model with BEA consumption, Epstein-Zin preferences, and non-i.i.d. consumption dynamics performs equally well. |
| 主题 | Financial Economics |
| 关键词 | Cross-section of expected returns Epstein-zin preferences Risk-free rate Gmm Consumption growth |
| URL | https://cepr.org/publications/dp16958-0 |
| 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/546311 |
| 推荐引用方式 GB/T 7714 | George Korniotis,Stefanos Delikouras. DP16958 Asset Pricing with and without Garbage: The Overlooked Triple-Hypothesis Problem. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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