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dc.contributor.authorSchrimpf, Andreasen_US
dc.contributor.authorGrammig, Joachim G.en_US
dc.coverage.temporal1963-2002en_US
dc.date.accessioned2009-02-16T14:58:59Z-
dc.date.available2009-02-16T14:58:59Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/24703-
dc.description.abstractThis 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.isoengen_US
dc.publisherZentrum für Europäische Wirtschaftsforschung (ZEW) Mannheim-
dc.relation.ispartofseriesZEW Discussion Papers 06-032 [rev.]en_US
dc.relation.isversionofhttp://hdl.handle.net/10419/24224-
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordConsumption-Based Asset Pricingen_US
dc.subject.keywordCross-Section of Stock Returnsen_US
dc.subject.keywordReference Levelen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwWelten_US
dc.titleAsset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returnsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn561225346en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:zewdip:7189-
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

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