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Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, HCAPM and CCAPM?

  • Auer Benjamin R.

    ()

    (Universität Leipzig, Institut für Unternehmensrechnung, Finanzierung und Besteuerung, Grimmaische Straße 12, 04109 Leipzig, Germany)

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    Using a new dataset for the German market, this article analyses whether modeling time-varying stochastic discount factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can help to explain the cross-section of book-to-market, size and industry portfolio returns. In addition to classic financial conditioning variables, we focus on modern consumption-based variables - the consumption surplus ratio of Campbell and Cochrane (1999), the consumption-wealth ratio of Lettau and Ludvigson (2001a) and the labour income to consumption ratio of Santos and Veronesi (2006). Our results show that (a) time-varying parameters can drastically increase the empirical fit of the models and that (b) a CAPM using the labour income to consumption ratio as a conditioning variable proves to be the best model specification.

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    Article provided by De Gruyter in its journal Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).

    Volume (Year): 232 (2012)
    Issue (Month): 5 (October)
    Pages: 518-544

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    Handle: RePEc:jns:jbstat:v:232:y:2012:i:5:p:518-544
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