Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.authorHunter, J-
dc.contributor.authorWu, F-
dc.identifier.citationEconomics and Finance Working Paper, Brunel University, 10-17en_US
dc.description.abstractIn this paper we extend the time series analysis to the panel framework to test the C-CAPM driven by wealth references for developed countries. Specifically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error components. The empirical ndings of this two-factor model with various specifications all indicate that there is significant unobserved heterogeneity captured by cross-country fixed e¤ects when consumption growth is treated as a common factor, of which the average risk aversion coefficient is 4.285. However, the cross-sectional impact of home consumption growth varies dramatically over the countries, where unobserved heterogeneity of risk aversion can also be addressed by random effects.en_US
dc.publisherBrunel Universityen_US
dc.subjectExcess returnsen_US
dc.subjectGenerated regressoren_US
dc.subjectWealth referenceen_US
dc.titleMultifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economiesen_US
dc.typeResearch Paperen_US
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
1017[1].pdf232.56 kBAdobe PDFView/Open

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