BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Klinkowska Olga (Autonomous University of Barcelona)
Tytuł
Conditional Tests of Factor Augmented Asset Pricing Models with Human Capital and Housing: Some New Results
Źródło
Ekonomia / Uniwersytet Warszawski, 2009, nr 24, s. 112-152, rys., tab., aneks, bibliogr. s. 142-144.
Słowa kluczowe
Model wyceny aktywów kapitałowych, Kapitał ludzki
Capital Asset Pricing Model (CAPM), Human capital
Uwagi
summ.
Abstrakt
In this paper I develop the asset pricing model in which the wealth portfolio is enriched with human capital and housing capital. These two types of capital account for a significant portion of the total wealth. Additionally I introduce dynamics into the model and represent conditioning information by common factors estimated with dynamic factor methodology. In this way I can use more accurate representative of the unobservable information set of the investors. Obtained results prove that indeed better proxy for market return matters. Moreover conditional models show promising empirical performance and often price the cross-section of excess equity returns better than the Fama French three factor model. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Altonji, J. G. and L. M. Segal (1996). "Small-sample bias in gmm estimation of covariance structures". Journal of Business and Economic Statistics 14 (July), 353-366.
  2. Bai, J. (2007). "Predictive macro indices as asset pricing risk factors". Working paper. Graduate School of Business, University of Chicago.
  3. Black, F. (1972, July). "Capital market equilibrium with restricted borrowing. Journal of Business 4 5, 444-55.
  4. Burnside, A. C. (2007). "Empirical asset pricing and statistical power in the presence of weak risk factors". NBER Working Paper(13357).
  5. Burnside, A. C. and M. Eichenbaum (1996). "Small-sample properties of gmm based wald tests". Journal of Business and Economic Statistics 14 (July), 294-308.
  6. Campbell, J. Y. (1991, March). "A variance decomposition for stock returns". Economic Journal 101, 157-79.
  7. Campbell, J. Y. and R. J. Shiller (1988). "The dividend-price ratio and expectations of future dividends and discount factors". Review of Financial Studies 1, 195-228.
  8. Case, K. E., E. L. Glaeser, and J. A. Parker (2000). "Real estate and the macroeconomy". Brookings Papers on Economic Activity 2000 (2), 119-162.
  9. Cochrane, J. (2005).Asset Pricing. Princeton University Press: Princeton NY.
  10. Fama, E. and K. French (1988, October). "Dividend yields and expected stock returns". Journal of Financial Economics 22, 3-25.
  11. Fama, E. and K. French (1989). "Business conditions and expected returns on stock and bonds". Journal of Financial Economics 25, 23-49.
  12. Fama, E. and J. MacBeth (1973). "Risk, return, and equilibrium: Empirical tests". Journal of Political Economics 81 (June-July), 607-636.
  13. Fama, E. and G. W. Schwert (1977). "Human capital and capital market equilibrium. Journal of Financial Economics 4, 95-125.
  14. Ferson, W. E. and C. R. Harvey (1999, August). "Conditioning variables and the cross section of stock returns". Journal of Finance 54, 1325-60.
  15. Hansen, L. P. (1982). "Large sample properties of generalized method of moments estimators". Econometrica 50 (July), 1029-1054.
  16. Hansen, L. P., J. Heaton, and A. Yaron (1996). "Finite-sample properties of some alternative gmm estimators". Journal of Business and Economic Statistics 14 (July), 262-280.
  17. Hansen, L. P. and R. Jagannathan (1997). "Assessing specification errors in stochastic discount factor models". Journal of Finance 52 (June), 557-590.
  18. Hansen, L. P. and S. F. Richard (1987). "The role of conditioning information in deducting testable restrictions implied by dynamic asset pricing models". Econometrica 55, 587-614.
  19. Heaton, J. and D. Lucas (2000). "Portfolio choice and asset prices: The importance of entrepreneurial risk". Journal of Finance 55, 1163-1198.
  20. Hodrick, R. J. (1992). "Dividend yields and expected stock returns: Alternative procedures for inference and measurement". Review Financial Studies 5 (3), 357-86.
  21. Jagannathan, R. and Z. Wang (1996). "The conditional CAPM and the cross-section of expected returns. Journal of Finance 51 (March), 3-53.
  22. Jagannathan, R. and Z. Wang (1998). "An asymptotic theory for estimating beta-pricing models using cross-sectional regression". Journal of Finance 53 (August), 1285-1309.
  23. Jushan, B. and S. Ng (2002). "Determining the number of factors in approximate factors models". Econometrica 10 (1), 191-221.
  24. Kandel, S. and R. F. Stambaugh (1995). "Portfolio inefficiency and the cross-section of expected returns". Journal of Finance 50 (March), 157-184.
  25. Kullmann, C. (2003). "Real estate and its role in asset pricing". Unpublished Working Paper University of British Columbia, Vancouver.
  26. Lamont, O. (1998, October). "Earnings and expected returns". Journal of Finance 53, 1563-87.
  27. Lettau, M. and S. Ludvigson (2001). "Resurrecting conditional (C)CAPM: A cross-sectional test when risk premium are time-varying". Journal of Political Economics 109, 1238-1287.
  28. Lewellen, J., S. Nagel, and J. Shanken (2007). "A skeptical appraisal of asset-pricing tests". NBER Working Paper.
  29. Lintner, J. (1965, December). "Security prices, risk, and maximal gains from diversification". Journal of Finance 20, 587-615.
  30. Ludvigson, S. and S. Ng (2007a). "Macro factors in bond risk premium. Working Paper, New York University.
  31. Ludvigson, S. C. and S. Ng (2007b). "The empirical risk-return relation: A factor analysis approach. Journal of Financial Economics 83, 171-222.
  32. Mayers, D. (1972). "Nonmarketable assets and capital market equilibrium under uncertainty". Studies in the Theory of Capital Markets. Ed. Jensen, Praeger, 223-248.
  33. Roll, R. (1977). "A critique of the asset pricing theory's tests: Part l. Journal of Financial Economics 4, 129-176.
  34. Roll, R. and S.A. Robs (1994). "On the cross-sectional relation between expected returns and betas". Journal of Finance 49 (March), 101-121.
  35. Santos, T. and P. Veronesi (2006). "Labor income and predictable stock returns". The Review of Financial Studies 19 (1), 1-44.
  36. Shanken, J. (1992). "On the estimation of beta pricing models". Review of Financial Studies 5, 1-34.
  37. Sharpe, W. F. (1964, September). "Capital asset prices: A theory of market equilibrium under conditions of risk". Journal of Finance 19, 425-42.
  38. Shiller, R. J. (1984). "Stock prices and social dynamics". Brookings Papers Economic Activity (2), 457-98.
  39. Stock, J. H. and M. W. Watson (2002a). "Forecasting using principal components from a large number of predictors". Journal of the American Statistical Association 97, 1167-1179.
  40. Stock, J. H. and M. W. Watson (2002b). "Macroeconomic forecasting using diffusion indexes". Journal of Business and Economic Statistics 20 (2), 147-162.
  41. Stock, J. H. and M. W. Watson (2004). "Forecasting with many predictors". Unpublished Paper, Princeton University.
Cytowane przez
Pokaż
ISSN
0137-3056
Język
eng
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu