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Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns
| Content Provider | Semantic Scholar |
|---|---|
| Author | Grammig, Joachim Schrimpf, Andreas |
| Copyright Year | 2006 |
| Abstract | This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption. The novelty is that we use a broad cross-section of test assets, which provides a level playing field for a comparison to well-established benchmark models. We also motivate a specification that accounts for the return on human capital as a determinant of the reference level. We find that this extension does a good job in explaining the cross-sectional variation in average returns across the 25 Fama- French portfolios with pricing errors close to those of Lettau/Ludvigson's celebrated scaled factor models. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://www.econstor.eu/bitstream/10419/24224/1/dp06032.pdf |
| Alternate Webpage(s) | http://ftp.zew.de/pub/zew-docs/dp/dp0632.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
