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http://hdl.handle.net/10419/57712
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| Title: | | Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns  |
| 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
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