EconStor >
Universität zu Köln >
Centre for Financial Research (CFR), Universität Köln >
CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/57712
  
Title:Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns PDF Logo
Authors:Grammig, Joachim
Schrimpf, Andreas
Issue Date:2009
Series/Report no.:CFR Working Paper 07-05
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 reference level model extended by human capital does a good job in explaining size and value premia. Estimated on Fama and French's size and book-tomarket 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
Document Type:Working Paper
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

Files in This Item:
File Description SizeFormat
703006762.pdf546.71 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/57712

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.