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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/24703
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Schrimpf, Andreas | | en_US |
| dc.contributor.author | | Grammig, Joachim G. | | en_US |
| dc.coverage.temporal | | 1963-2002 | | en_US |
| dc.date.accessioned | | 2009-02-16T14:58:59Z | | - |
| dc.date.available | | 2009-02-16T14:58:59Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/24703 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Zentrum für Europäische Wirtschaftsforschung (ZEW) Mannheim | | - |
| dc.relation.ispartofseries | | ZEW Discussion Papers 06-032 [rev.] | | en_US |
| dc.relation.isversionof | | http://hdl.handle.net/10419/24224 | | - |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Consumption-Based Asset Pricing | | en_US |
| dc.subject.keyword | | Cross-Section of Stock Returns | | en_US |
| dc.subject.keyword | | Reference Level | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Capital Asset Pricing Model | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.subject.stw | | Welt | | en_US |
| dc.title | | Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 561225346 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:zewdip:7189 | | - |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des ZEW ZEW Discussion Papers
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