Testing the CCAPM on Spanish Data: A New Approach

E.M. Rubio

Working Papers from Centro de Estudios Monetarios Y Financieros-

Abstract: This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population moments implied by the model and the sample moments.

Keywords: SPAIN; STOCK MARKET; MODELS; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C50 C52 G10 G11 G12 (search for similar items in EconPapers)
Pages: 33 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:fth:cemfdt:9603

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