Sind konsumbasierte Kapitalmarktmodelle mit europäischen Wertpapierrenditen vereinbar?

2011 ◽  
Vol 62 (1) ◽  
Author(s):  
Benjamin R. Auer
Keyword(s):  
Capital Asset Pricing ◽  
Power Utility ◽  
Recursive Preferences ◽  
Asset Return ◽  
Asset Pricing Model ◽  
Discount Factors ◽  
Pricing Errors ◽  
Stochastic Discount Factors ◽  
Pricing Error ◽  
Low Degrees

SummaryThis paper analyses whether the consumption based capital asset pricing model is consistent with asset return data from Denmark, Italy, Norway and Austria. The performance of the CCAPM is evaluated by applying the nonparametric methodology of Hansen and Jagannathan (1991) and adopting five alternative specifications of utility. In addition to standard power utility the recursive preferences model proposed by Epstein and Zin (1989) is adopted. Both internal and external habit formation (persistence) using the models proposed by Constantinides (1990), Abel (1990) and Campbell and Cochrane (1999) are also considered. The findings are evaluated using the test of Burnside (1994) and the pricing error measure of Hansen and Jagannathan (1997). It is found that the majority of models produce stochastic discount factors consistent with the data (at mostly low degrees of risk aversion). As far as the pricing errors of the models are concerned the model incorporating recursive utility can be considered best.

scholarly journals Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures

2007 ◽  
Vol 37 (1) ◽  
pp. 35-52
Author(s):  
Mark Johnston
Keyword(s):  
Asset Pricing ◽  
Asset Prices ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Marginal Distributions ◽  
Asset Pricing Model ◽  
Discount Factors ◽  
Stochastic Discount Factors ◽  
Normal Copula

The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula. Wang has derived a transform which extends the CAPM by allowing pricing of assets in such an economy which have non-normal marginal distributions but still are normal-copula with consumption.Here we set out the stochastic discount factors corresponding to this version of the CAPM and to Wang’s transform, and show how to calculate stochastic discount factors and hence asset prices for assets whose dependence with consumption is non-normal. We show that the impact of dependency structure on asset prices is significant.

scholarly journals Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures

2007 ◽  
Vol 37 (01) ◽  
pp. 35-52 ◽  
Author(s):  
Mark Johnston
Keyword(s):  
Asset Pricing ◽  
Asset Prices ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Marginal Distributions ◽  
Asset Pricing Model ◽  
Discount Factors ◽  
Stochastic Discount Factors ◽  
Normal Copula

The Capital Asset Pricing Model arises in an economy where agents have exponential utility functions and aggregate consumption is normally distributed, and gives the prices of assets with payoffs which are jointly normal with consumption. Such assets have normal marginal distributions and have dependence with consumption characterised by a normal copula. Wang has derived a transform which extends the CAPM by allowing pricing of assets in such an economy which have non-normal marginal distributions but still are normal-copula with consumption.Here we set out the stochastic discount factors corresponding to this version of the CAPM and to Wang’s transform, and show how to calculate stochastic discount factors and hence asset prices for assets whose dependence with consumption is non-normal. We show that the impact of dependency structure on asset prices is significant.

scholarly journals BEYOND CAPM: AN INNOVATIVE FACTOR MODEL TO OPTIMIZE THE RISK AND RETURN TRADE-OFF

2013 ◽  
Vol 15 (4) ◽  
pp. 615-630 ◽  
Author(s):  
Shima Lashgari ◽  
Jurgita Antuchevičienė ◽  
Alireza Delavari ◽  
Omid Kheirkhah
Keyword(s):  
Factor Model ◽  
Asset Returns ◽  
Capital Asset Pricing ◽  
Traditional Theory ◽  
Capital Asset ◽  
Asset Return ◽  
Asset Pricing Model ◽  
Financial Factors ◽  
Multiple Factors ◽  
Explanatory Factors

Different models have tried to improve the Capital Asset Pricing Model findings, on the basis that different factors can affect asset return. This paper examines a series of explanatory factors, broader than those explained by traditional theory, to see whether they are able to more accurately explain the returns. Should the previous point be confirmed, we must consider that the risk of an asset depends on multiple factors, rather than the few that are usually identified in the literature. Even though more than 300,000 factors are examined in this paper, the results show that in recent years just 87 factors are able to fully explain the returns of 4,500 companies in the 15 European countries examined. Our analysis also shows that business and macroeconomic, rather than financial factors, are those that heavily bear on asset returns; and that factors that affect asset return, either only positively or only negatively, do not exist. However, the same factor can affect some companies positively and others negatively. Thus, since not all firms are always sensitive to the same factors, there is the possibility to further decrease risk in proportion to return, through a factor-based risk optimisation process.

scholarly journals Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Tae-Hwy Lee ◽  
Millie Yi Mao ◽  
Aman Ullah
Keyword(s):  
Asset Pricing ◽  
Regression Function ◽  
Asset Returns ◽  
Capital Asset Pricing ◽  
Return Volatility ◽  
Pricing Model ◽  
Capital Asset ◽  
Consumption Growth ◽  
Asset Return ◽  
Asset Pricing Model

AbstractBased on the maximum entropy (ME) method, we introduce an information theoretic approach to estimating conditional moment functions with incorporating a theoretical constraint implied from the consumption-based capital asset pricing model (CCAPM). Using the ME conditional mean/variance functions obtained from the ME density, we analyze the relationship between asset returns and consumption growth under the theoretical constraint of the CCAPM. We evaluate the predictability of asset return using consumption growth through in-sample estimation and out-of-sample prediction in the ME mean regression function. We also examine the ME variance regression function for the asset return volatility as a function of the consumption growth. Our findings suggest that incorporating the CCAPM constraint can capture the nonlinear predictability of asset returns in mean especially in tails, and that the consumption growth has an effect on reducing stock return volatility, indicating the counter-cyclical variation of stock market volatility.

A Single Period Stochastic Model for Maximising Firms Value

GIS Business ◽  
2016 ◽  
Vol 11 (6) ◽  
pp. 39-45
Author(s):  
J. P. Singh
Keyword(s):  
Capital Market ◽  
Firm Value ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Value Maximization ◽  
Risk Return ◽  
Bankruptcy Costs ◽  
Single Period ◽  
Debt Capacity

This article sets up a single period value maximization model for the firm based on stochastic end-of-period cash inflows, stochastic bankruptcy costs and taxes based on income rather than wealth. The risk-return trade-off is captured in the Capital Asset Pricing Model. Thus, the model also assumes a perfect capital market and market equilibrium. The model establishes the existence of a unique optimal financial leverage at which the firm value is maximized, this leverage being less than the maximum debt capacity of the firm.

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