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Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark

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Author Info
Rasmussen, Anne-Sofie Reng () (Department of Finance, Aarhus School of Business)
Abstract

This paper evaluates the ability of the multifactor model of Campbell

(1993, 1996) to explain time-series and cross-sectional patterns of

Danish stock and bond returns. The model is obtained by substituting

consumption out of the intertemporal budget constraint of the representative

agent in the traditional consumption-based capital asset pricing

model (C-CAPM). This enables the model to be estimated without the

use of consumption data. Estimation of the model results in reasonable

preference parameter estimates. Unlike previous research based on this

model, the restrictions implied by both the conditional and unconditional

model are generally not rejected, and Hansen and Jagannathan’s (1997)

specification error measures generally imply small pricing errors.

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Publisher Info
Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 04-2.

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Length: 50 pages
Date of creation: 27 May 2004
Date of revision:
Handle: RePEc:hhb:aarfin:2004_002

Contact details of provider:
Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Fax: + 45 86 15 19 43
Web page: http://www.asb.dk/about/departments/bs.aspx
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Related research
Keywords: Intertemporal asset pricing; VAR model; Hansen-Jagannathan specification error;

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This page was last updated on 2009-11-25.

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