Test of the C-CAPM for the Philippines: 1981-1997

Carlos Bautista

Philippine Review of Economics, 1999, vol. 36, issue 1, 22-32

Abstract: This paper presents a test of multi-period asset pricing models using quarterly Philippine data. Using a consumption-based asset-pricing model, the study finds the rate of time preference to be 5.20 percent (on an annual basis). The estimated risk aversion coefficient of 0.043 seems to be on the low side when compared with estimates for other countries. Hansen’s J-test finds favorable evidence for the C-CAPM as the overidentifying restrictions are not rejected.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://pre.econ.upd.edu.ph/index.php/pre/article/view/63/522 (application/pdf)

Related works:
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:phs:prejrn:v:36:y:1999:i:1:p:22-32

Access Statistics for this article

More articles in Philippine Review of Economics from University of the Philippines School of Economics and Philippine Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by HR Rabe ().