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http://hdl.handle.net/10419/24703
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| Title: | | Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns  |
| Authors: | | Schrimpf, Andreas 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 Reference Level |
| JEL: | | G12 |
| older Version: | | http://hdl.handle.net/10419/24224 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des ZEW ZEW Discussion Papers
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