sta The Consumption Capital Asset Pricing Model (C-CAPM) is tested using data on equity prices in Jordan, Turkey, and Pakistan over the period 1986-93. The analysis is carried out in two steps. The parameters of agents' dynamic consumption and investment decisions are first estimated, and then the implied equity market price (based on the model) is compared with the actual evolution of equity prices. The empirical results support the proposistion that equity price movements in Jordan, Turkey, and Pakistan are not consistent with the C-CAPM. In each of these developing equity markets, the variability of equity price indices could not be accounted for by information regarding future dividends alone, and the failure to reject the null hypothesis of no cointegration of the implied and actual equity price series is due to parameter instability.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Length: 30 pages Date of creation: 1997 Date of revision: Handle: RePEc:mlb:wpaper:593
Contact details of provider: Postal: Department of Economics, The University of Melbourne, 5th Floor, Economics and Commerce Building, Victoria, 3010, Australia Phone: +61 3 8344 5289 Fax: +61 3 8344 6899 Email: Web page: http://www.economics.unimelb.edu.au More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Colemann Leong).
Find related papers by JEL classification: C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)