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Comparing Consumption-Based Asset-Pricing models

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  • Stephen Gordon
  • Lucie Samson

Abstract

We make use of a recently developed method to estimate the intertemporal marginal rate of substitution consistent with the fluctuations of asset return data from the Toronto Stock Exchange. These estimates are then used to evaluate various parametric specifications for preferences often used in empirical studies of consumption and asset returns. In contrast to existing studies, we are able to perform a formal statistical comparison of these models. We consider six extensions of the usual power utility model, and we find that none can be said to be a demonstrable improvement on the standard model.

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Bibliographic Info

Article provided by Canadian Economics Association in its journal Canadian Journal of Economics.

Volume (Year): 35 (2002)
Issue (Month): 3 (August)
Pages: 586-610

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Handle: RePEc:cje:issued:v:35:y:2002:i:3:p:586-610

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Cited by:
  1. Smoluk, H. J. & VanderLinden, David, 2004. "Catching up with the Americans," Review of Financial Economics, Elsevier, vol. 13(3), pages 211-229.
  2. Chen, Ming-Hsiang & Bidarkota, Prasad V., 2004. "Consumption equilibrium asset pricing in two Asian emerging markets," Journal of Asian Economics, Elsevier, vol. 15(2), pages 305-319, April.

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