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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Schrimpf, Andreas | en |
dc.contributor.author | Grammig, Joachim G. | en |
dc.date.accessioned | 2009-02-16T14:58:59Z | - |
dc.date.available | 2009-02-16T14:58:59Z | - |
dc.date.issued | 2007 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheim | en |
dc.relation.ispartofseries | |aZEW Discussion Papers |x06-032 [rev.] | en |
dc.relation.isversionof | http://hdl.handle.net/10419/24224 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Consumption-Based Asset Pricing | en |
dc.subject.keyword | Cross-Section of Stock Returns | en |
dc.subject.keyword | Reference Level | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Kapitalertrag | en |
dc.subject.stw | Capital Asset Pricing Model | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Theorie | en |
dc.subject.stw | Welt | en |
dc.title | Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 561225346 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:zewdip:7189 | en |
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