Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/24703 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorSchrimpf, Andreasen
dc.contributor.authorGrammig, Joachim G.en
dc.date.accessioned2009-02-16T14:58:59Z-
dc.date.available2009-02-16T14:58:59Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen
dc.relation.ispartofseries|aZEW Discussion Papers |x06-032 [rev.]en
dc.relation.isversionofhttp://hdl.handle.net/10419/24224en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordConsumption-Based Asset Pricingen
dc.subject.keywordCross-Section of Stock Returnsen
dc.subject.keywordReference Levelen
dc.subject.stwBörsenkursen
dc.subject.stwKapitalertragen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwWelten
dc.titleAsset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns-
dc.typeWorking Paperen
dc.identifier.ppn561225346en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:zewdip:7189en

Files in This Item:
File
Size
363.57 kB





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