Estimation of the consumption CAPM with imperfect sample separation information
Andrei Semenov ()
International Journal of Finance & Economics, 2008, vol. 13, issue 4, 333-348
We propose a consumption-based capital asset pricing model consumption (CAPM), in which the pricing kernel is calculated as the average of individuals' intertemporal marginal rates of substitution weighted by the probabilities of holding the asset in question. These probabilities are conditional on available imperfect sample separation information and are estimated simultaneously with the parameters of Euler equations. Using data from the US Consumer Expenditure Survey, we find that the consumption CAPM with probability-weighted agents yields a more precise estimate of the agent's risk aversion compared with the model, in which the available imperfect information on asset-holding status is erroneously regarded as a perfect sample separation indicator. Copyright © 2007 John Wiley & Sons, Ltd.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://hdl.handle.net/10.1002/ijfe.344 Link to full text; subscription required (text/html)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:13:y:2008:i:4:p:333-348
Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307
Access Statistics for this article
International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley
More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().