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Klinkowska Olga (Autonomous University of Barcelona)
Conditional Tests of Factor Augmented Asset Pricing Models with Human Capital and Housing: Some New Results
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
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
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