Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, HCAPM and CCAPM?

Auer Benjamin R. ()
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Auer Benjamin R.: Universität Leipzig, Institut für Unternehmensrechnung, Finanzierung und Besteuerung, Grimmaische Straße 12, 04109 Leipzig, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2012, vol. 232, issue 5, 518-544

Abstract: Using a new dataset for the German market, this article analyses whether modeling time-varying stochastic discount factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can help to explain the cross-section of book-to-market, size and industry portfolio returns. In addition to classic financial conditioning variables, we focus on modern consumption-based variables - the consumption surplus ratio of Campbell and Cochrane (1999), the consumption-wealth ratio of Lettau and Ludvigson (2001a) and the labour income to consumption ratio of Santos and Veronesi (2006). Our results show that (a) time-varying parameters can drastically increase the empirical fit of the models and that (b) a CAPM using the labour income to consumption ratio as a conditioning variable proves to be the best model specification.

Keywords: CAPM; HCAPM; CCAPM; zeitvariable Parameter; konsumbasierte Konditionierungsvariablen; Fama-MacBeth-Prozedur (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:232:y:2012:i:5:p:518-544

DOI: 10.1515/jbnst-2012-0503

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