Modeling Asset Premiums and the Riskfree Rate in General Equilibrium CCAPM

Modeling Asset Premiums and the Riskfree Rate in General Equilibrium CCAPM We elaborate on the consumption capital asset pricing model (CCAPM) to reveal a set of underlying forces that determine asset returns. We use generalized preferences, allow for labor-leisure choice, a broad asset portfolio, and holding international claims. A calibration of the model with US data learns that excess stock and bond returns can be replicated. At the same time, however, the riskfree interest rate generally appears to be mispriced, consistent with Weil (1989). Additional results show that in general two optimal values of the intertemporal substitution parameter correspond with a specified coefficient of risk aversion. Tests that assess the dynamic properties of the model yield mixed results, but are most favorable when home bias is allowed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Modeling Asset Premiums and the Riskfree Rate in General Equilibrium CCAPM

Loading next page...
 
/lp/springer_journal/modeling-asset-premiums-and-the-riskfree-rate-in-general-equilibrium-4reypCMjrs
Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2001 by Kluwer Academic Publishers
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1023/A:1017913303880
Publisher site
See Article on Publisher Site

References

  • Predicting Stock Returns in an Efficient Market
    Balvers, R. J.; Cosimano, T. F.; McDonald, B.
  • Industry Returns and the Fisher Effect
    Boudoukh, J.; Richardson, M.; Whitelaw, R. F.
  • What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
    Campbell, J. Y.; Ammer, J.
  • Financial Investment Opportunities and the Macroeconomy
    Chen, N.-F.
  • Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
    Cochrane, J. H.

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches

$49/month

Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.

$588

$360/year

billed annually
Start Free Trial

14-day Free Trial