Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim >
ZEW Discussion Papers >
Please use this identifier to cite or link to this item:
| || |
|Title:||Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns |
Grammig, Joachim G.
|Issue Date:||2007 |
|Series/Report no.:||ZEW Discussion Papers 06-032 [rev.]|
|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.|
|Subjects:||Consumption-Based Asset Pricing|
Cross-Section of Stock Returns
|Document Type:||Working Paper|
|Appears in Collections:||Publikationen von Forscherinnen und Forschern des ZEW|
ZEW Discussion Papers
Download bibliographical data as:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.