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Consumption Based Capital Asset Pricing and the Austrian Stock Exchange

Author

Listed:
  • Boeheim, Rene

    (Department of Economics, Institute for Advanced Studies, Vienna)

  • Boss, Michael

    (Department of Mathematical Methods and Computer Science, Institute for Advanced Studies, Vienna)

Abstract

Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock Exchange during the 1980s into account. For all the models we calculate the risk premium in order to see whether the models could explain the empirically observed risk premium. For the calculation of risk premia we use estimators generated by the General Method of Moments.

Suggested Citation

  • Boeheim, Rene & Boss, Michael, 1996. "Consumption Based Capital Asset Pricing and the Austrian Stock Exchange," Economics Series 29, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:29
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    File URL: https://irihs.ihs.ac.at/id/eprint/904
    File Function: First version, 1996
    Download Restriction: no
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    More about this item

    Keywords

    Consumption based Capital Pricing Models; GMM; Equity Premium Puzzle;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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