@techreport{Schrimpf2007Asset,
abstract = {This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. We motivate an alternative model that accounts for the return on human capital as a determinant of the reference level. Our analysis is based on a broad cross-section of test assets which provides a level playing field for a comparison to established benchmark models. The human capital extended reference level model does a good job in explaining size and value premia. Estimated on Fama and French's size and book-to-market sorted portfolios it outperforms Lettau and Ludvigson's scaled CCAPM and delivers average pricing errors comparable to the Fama-French three-factor model.},
address = {Mannheim},
author = {Andreas Schrimpf and Joachim G. Grammig},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; 330; Consumption-Based Asset Pricing; Cross-Section of Stock Returns; Reference Level; B\"{o}rsenkurs; Kapitalertrag; Capital Asset Pricing Model; Sch\"{a}tzung; Theorie; Welt},
language = {eng},
note = {Older version: http://hdl.handle.net/10419/24224},
number = {06-032 [rev.]},
publisher = {Zentrum f\"{u}r Europ\"{a}ische Wirtschaftsforschung (ZEW)},
title = {Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns},
type = {ZEW Discussion Papers},
url = {http://hdl.handle.net/10419/24703},
year = {2007}
}
