Testing the Consumption CAPM with Heavy-Tailed Pricing Errors
AbstractMany tests have rejected the implications of the consumption CAPM fordata on U.S. asset returns. All of the tests, though, assume that thepricing errors satisfy the Central Limit Theorem. I provide empiricalevidence that the marginal distributions of the pricing errors are so heavy-tailed that they do not satisfy the Central Limit Theorem. Usingrecent work on jackknifing, I construct a method of testing asset pricing models with heavy-tailed errors. Using this procedure, I find that theconsumption CAPM is not rejected by annual U.S. data.
Download InfoTo 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.
Bibliographic InfoPaper provided by University of Iowa, Department of Economics in its series Working Papers with number 93-10.
Length: 27 pages
Date of creation: 1993
Date of revision:
Contact details of provider:
Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
More information through EDIRC
pricing ; economic models ; consumption;
Other versions of this item:
- Kocherlakota, Narayana R., 1997. "Testing The Consumption Capm With Heavy-Tailed Pricing Errors," Macroeconomic Dynamics, Cambridge University Press, vol. 1(03), pages 551-567, September.
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John Solow).
If references are entirely missing, you can add them using this form.