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Asset Demands and Asset Prices in the U.K.: Is There a Risk Premium

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  • Green, Christopher J

Abstract

This paper argues that conventional methods for estimating portfolio demand functions and asset pricing equations are often incorrect. The method used here is to invert theoretically plausible asset demands to obtain asset price expectation formation equations that can be estimated by ordinary least squares and which can be used to test the capital asset pricing model. Using this method, U.K. private sector data from the 1970s are able to accept an impressive array of economically meaningful restrictions. However, a central puzzle is that the coefficient of relative risk aversion is found to be significant but negative. Copyright 1990 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Bibliographic Info

Article provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 58 (1990)
Issue (Month): 3 (September)
Pages: 211-28

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Handle: RePEc:bla:manch2:v:58:y:1990:i:3:p:211-28

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Cited by:
  1. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
  2. Javid, Attiya Yasmin, 2009. "Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market," MPRA Paper 38059, University Library of Munich, Germany.
  3. Christopher J. Green & Victor Murinde, 2003. "Flow of funds: implications for research on financial sector development and the real economy," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(8), pages 1015-1036.

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