Estimating the Consumption-Capital Asset Pricing Model without Consumption Data: Evidence from Denmark

Anne-Sofie Reng Rasmussen ()
Additional contact information
Anne-Sofie Reng Rasmussen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark, http://www.asb.dk/departments/fin/staff/phdstudents/arr.htm

No 04-2, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: This paper evaluates the ability of the multifactor model of Campbell (1993, 1996) to explain time-series and cross-sectional patterns of Danish stock and bond returns. The model is obtained by substituting consumption out of the intertemporal budget constraint of the representative agent in the traditional consumption-based capital asset pricing model (C-CAPM). This enables the model to be estimated without the use of consumption data. Estimation of the model results in reasonable preference parameter estimates. Unlike previous research based on this model, the restrictions implied by both the conditional and unconditional model are generally not rejected, and Hansen and Jagannathan’s (1997) specification error measures generally imply small pricing errors.

Keywords: Intertemporal asset pricing; VAR model; Hansen-Jagannathan specification error (search for similar items in EconPapers)
Pages: 50 pages
Date: 2004-05-27
New Economics Papers: this item is included in nep-eec
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.hha.dk/fin/cms/wp/D04_2.pdf (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:hhb:aarfin:2004_002

Access Statistics for this paper

More papers in Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Helle Vinbaek Stenholt ( this e-mail address is bad, please contact ).