Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68661
Authors: 
Böheim, René
Boss, Michael
Year of Publication: 
1996
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 29
Abstract: 
Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock Exchange during the 1980s into account. For all the models we calculate the risk premium in order to see whether the models could explain the empirically observed risk premium. For the calculation of risk premia we use estimators generated by the General Method of Moments.
Subjects: 
consumption based capital pricing models
GMM
equity premium puzzle
JEL: 
G12
Document Type: 
Working Paper

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