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|Title:||GMM and present value test of the C-CAPM under transactions costs: Evidence from the UK stock market|
|Keywords:||Asset Pricing, Bid-Ask spreads, GMM, VAR.|
|Citation:||Economics and Finance Working papers, Brunel University, 03-01|
|Abstract:||In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and secondly, the VAR approach proposed by Campbell and Shiller is extended to include the bid-ask spread. Overall the statistical tests are unable to reject the bid-ask spread as an independent explanatory variable in the C-CAPM. This leads to the conclusion that transactions costs should be included in asset pricing models.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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