extensions for conditioning information. Hansen's (1982) Generalized Method of Moments (GMM) is briefly reviewed as an organizing … pricing formulation, and a GMM approach with a stochastic discount factor formulation, may be considered competing paradigms …

pricing models in the context of several major Australian asset classes. Using the generalised method of moments (GMM …) econometric approach, my study begins with the classic CCAPM originally tested by Hansen and Singleton (1982, 1983). The empirical … analysis is then extended to test more-recent specifications of the CCAPM, including the habit-formation models of Abel (1990 …

non-assetholder consumption, as well as the standard aggregate consumption series commonly used in the CCAPM literature …

test the conditional covariance representation of the model using a combined GARCH and GMM approach in the spirit of Bali … (2008) and find that in comparison to the CAPM and the standard power utility CCAPM the habit model has superior explanatory …