کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
986748 1480913 2009 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns
چکیده انگلیسی

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. We motivate an alternative model that accounts for the return on human capital as a determinant of the reference level. Our analysis is based on a broad cross-section of test assets, which provides a level playing field for a comparison to established benchmark models. The reference level model extended by human capital does a good job in explaining size and value premia. Estimated on Fama and French's size and book-to-market sorted portfolios, it outperforms Lettau and Ludvigson's scaled CCAPM and delivers average pricing errors comparable to the Fama–French three-factor model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 18, Issue 3, August 2009, Pages 113–123
نویسندگان
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