Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/5048
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dc.contributor.authorHunter, J-
dc.contributor.authorWu, F-
dc.date.accessioned2011-04-18T09:46:19Z-
dc.date.available2011-04-18T09:46:19Z-
dc.date.issued2010-
dc.identifier.citationEconomics and Finance Working Paper, Brunel University, 10-17en_US
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/5048-
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.language.isoenen_US
dc.publisherBrunel Universityen_US
dc.subjectConsumption-CAPMen_US
dc.subjectExcess returnsen_US
dc.subjectGenerated regressoren_US
dc.subjectGMMen_US
dc.subjectHabitsen_US
dc.subjectPanelen_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

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