Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
The extent to which specification error can explain rejection of the intertemporal capital asset pricing model is investigated using seminonparametric representations of the law of motion and utility. The authors find (1) consumption growth and asset returns display conditional heterogeneity, but this does not account for rejection of models assuming additively separable, constant relative risk aversion utility; (2) the model is accepted upon relaxation of the utility function in the direction of nonseparable utility; and (3) relaxation reduces overprediction of the conditional variance of consumption growth, overprediction of the conditional covariance of asset returns with consumption growth, and the equity premium. Copyright 1989 by The Econometric Society.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
|Date of creation:||1988|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://gsb.uchicago.edu/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:chicbu:88-59. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.