Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing

Alberto Giovannini and Philippe Jorion

No 3195, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper provides two alternative estimation and testing procedures of a representative-agent model of asset pricing which relies on a particular parametrization of non-expected-utility preferences. The first is based on maximum-likelihood estimates, supplemented with an explicit model of time varying first and second moments (where the time-variation of second moments in modelled with an ARCH-Autoregressive Conditionally Heteroskedastic-process); the second is based on generalized-method-of moments estimates. We perform our tests on a data set that includes monthly observations of rates of return on US stock prices and US consumption of nondurables and services. Our results are directly comparable to a test of the dynamic capital asset pricing model performed by Hansen and Singleton (1983), and to a recent test of the model studied here performed by Epstein and Zin (1989).

Date: 1989-12
Note: ME
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Citations: View citations in EconPapers (7)

Published as European Economic Review, Vol. 37, no. 5 (1993): 1083-1100.

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Journal Article: Time-series tests of a non-expected-utility model of asset pricing (1993)
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