Testing the Consumption-CAPM in Developing Equity Markets

Paul Cashin () and Christopher McDermott

International Journal of Finance & Economics, 1998, vol. 3, issue 2, 127-41

Abstract: The Consumption Capital Asset Pricing Model (C-CAPM) is tested using data on equity prices in Jordan, Turkey, and Pakistan over the period 1986-93. The analysis is carried out in two steps. The parameters of agents dynamic consumption and investment decisions are first estimated, and then the implied equity market price (based on the model) is compared with the actual evolution of equity prices. The empirical results support the proposition that equity price movements in Jordan, Turkey, and Pakistan are not consistent with the C-CAPM. In each of these developing equity markets, the variability of equity price indices could not be accounted for by information regarding future dividends alone, and the failure to reject the null hypothesis of no cointegration of the implied and actual equity price series is due to parameter instability. Copyright @ 1998 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Testing the Consumption-Capm in Developing Equity Markets (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ijf:ijfiec:v:3:y:1998:i:2:p:127-41

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 () and Christopher F. Baum ().