Asset pricing with a reference level of consumption : new evidence from the cross-section of stock returns
Joachim Grammig and Andreas Schrimpf
This 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.
Alternative title: | Consumption-based asset pricing with a reference level : new evidence from the cross-section of stock returns |
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Year of publication: |
09 Jan. 2007 ; Rev. version
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Other Persons: | Grammig, Joachim (contributor) ; Schrimpf, Andreas (contributor) |
Publisher: |
Mannheim : ZEW Zentrum für Europäische Wirtschaftsforschung |
Subject: | Börsenkurs | Share price | Kapitaleinkommen | Capital income | CAPM | Schätzung | Estimation | Theorie | Theory | Welt | World | 1963-2002 |
Saved in:
freely available
Extent: | Online-Ressource, 37 S., Text graph. Darst. |
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Series: | ZEW discussion papers. - Mannheim : ZEW, ZDB-ID 2125128-9. - Vol. 06-32 [rev.] |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003671149