Testing the CCAPM on Spanish Data: A New Approach.

This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population moments implied by the model and the sample moments.

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Year of publication:	1996
Authors:	Rubio, E.M.
Institutions:	Centro de Estudios Monetarios y Financieros (CEMFI)
Subject:	SPAIN \| STOCK MARKET \| MODELS \| FINANCIAL MARKET

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Series:	Centro de Estudios Monetarios Y Financieros-.
Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	C50 - Econometric Modeling. General ; C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005776182