Consumption Based Capital Asset Pricing and the Austrian Stock Exchange

Rene Boeheim and Michael Boss
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Rene Boeheim: Department of Economics, Institute for Advanced Studies, Vienna
Michael Boss: Department of Mathematical Methods and Computer Science, Institute for Advanced Studies, Vienna
Authors registered in the RePEc Author Service: René Böheim

No 29, Economics Series from Institute for Advanced Studies

Abstract: Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock Exchange during the 1980s into account. For all the models we calculate the risk premium in order to see whether the models could explain the empirically observed risk premium. For the calculation of risk premia we use estimators generated by the General Method of Moments.

Keywords: Consumption based Capital Pricing Models; GMM; Equity Premium Puzzle (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1996-05
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https://irihs.ihs.ac.at/id/eprint/904 First version, 1996 (application/pdf)

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