Quantile Consumption-Capital Asset Pricing

Sofia Ramos
Authors registered in the RePEc Author Service: Abderrahim Taamouti

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The Consumption-Capital Asset Pricing Model is a statement about the mean of asset returns anddoes not provide any information on the returns' quantiles. Using quantile maximization decisiontheory, this paper considers a quantile-based Euler equation that states that the asset price is afunction of the quantiles of the payoff, consumption growth, stochastic discount factor and riskaversion. Assuming that the consumption growth rate is log-elliptically distributed, we show thatreturns' quantiles are non-monotone functions of the consumption growth volatility. Using data fromthe United States and United Kingdom, empirical evidence validates our theoretical results and showsthat this volatility is a driving factor of the returns' distribution.

Keywords: Quantile; Utility; Function; Stochastic; Volatility; Asset; Pricing; Ccapm; Consumption; Volatility; Quantile-Based; Euler; Equation (search for similar items in EconPapers)
JEL-codes: C21 C58 G12 (search for similar items in EconPapers)
Date: 2020-05-06
New Economics Papers: this item is included in nep-fmk, nep-ore and nep-upt
References: Add references at CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 2ebea3f47ecc/content (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:cte:wsrepe:30332

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().