Advances in Consumption-Based Asset Pricing: Empirical Tests
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the growing body of empirical work that evaluates today's leading consumption-based asset pricing theories using formal estimation, hypothesis testing, and model comparison. In addition to summarizing the findings and debate, the analysis seeks to provide an accessible description of a few key econometric methodologies for evaluating consumption-based models, with an emphasis on method-of-moments estimators. Finally, the chapter offers a prescription for future econometric work by calling for greater emphasis on methodologies that facilitate the comparison of multiple competing models, all of which are potentially misspecified, while calling for reduced emphasis on individual hypothesis tests of whether a single model is specified without error.
|Date of creation:||Feb 2011|
|Date of revision:|
|Publication status:||published as "Advances in Consumption-Based Asset Pricing: Empirical Tests." Forthcoming in the Handbook of the Economics of Finance, e.d. by George M. Constantinides, Milton Harris and Rene M. Stulz, vol. 2, Elsevier Science B.V., North Holland, Amersterdam.|
|Contact details of provider:|| Postal: |
Web page: http://www.nber.org
More information through EDIRC
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.:
- Jules Vanbinsbergen & Michael W. Brandt & Ralph Koijen, 2010.
"On the Timing and Pricing of Dividends,"
2010-010, Becker Friedman Institute for Research In Economics.
- Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, . "On the Timing and Pricing of Dividends," Swiss Finance Institute Research Paper Series 11-13, Swiss Finance Institute.
- Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2010. "On the Timing and Pricing of Dividends," NBER Working Papers 16455, National Bureau of Economic Research, Inc.
- Del Negro, Marco & Schorfheide, Frank & Smets, Frank & Wouters, Rafael, 2007. "On the Fit of New Keynesian Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 123-143, April.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:16810. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.