메뉴 건너뛰기




Volumn 73, Issue 3, 2005, Pages 343-363

Consumption asset pricing models: Evidence from the UK

Author keywords

[No Author keywords available]

Indexed keywords


EID: 20444452580     PISSN: 14636786     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9957.2005.00450.x     Document Type: Article
Times cited : (17)

References (30)
  • 1
    • 0003007882 scopus 로고
    • Asset prices under habit formation and catching up with the joneses
    • Abel, A. B. (1990). 'Asset Prices under Habit Formation and Catching Up with the Joneses', American Economic Review, Papers and Proceedings, Vol. 80, pp. 38-42.
    • (1990) American Economic Review, Papers and Proceedings , vol.80 , pp. 38-42
    • Abel, A.B.1
  • 2
    • 17844367469 scopus 로고    scopus 로고
    • Consumption habit and equity premium in the G7 countries
    • Paris, France
    • Allais, O., Cadiou, L. and Des, S. (2000). 'Consumption Habit and Equity Premium in the G7 Countries', CEPII Working Paper 00-19, Paris, France.
    • (2000) CEPII Working Paper , Issue.19
    • Allais, O.1    Cadiou, L.2    Des, S.3
  • 3
    • 0002246180 scopus 로고
    • Intertemporal substitution, risk aversion and the euler equation for consumption
    • Attansio, O. P. and Weber, G. (1989). 'Intertemporal Substitution, Risk Aversion and the Euler Equation for Consumption', Economic Journal, Vol. 99, pp. 59-73.
    • (1989) Economic Journal , vol.99 , pp. 59-73
    • Attansio, O.P.1    Weber, G.2
  • 4
    • 0009713512 scopus 로고
    • An intertemporal asset pricing model with stochastic consumption and investment opportunities
    • Breeden, D. (1979). 'An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities', Journal of Financial Economics, Vol. 7, pp. 265-296.
    • (1979) Journal of Financial Economics , vol.7 , pp. 265-296
    • Breeden, D.1
  • 5
    • 84977729854 scopus 로고
    • Empirical tests of the consumption-oriented CAPM
    • Breeden, D., Gibbons, M. and Litzenberger, R. (1989). 'Empirical Tests of the Consumption-oriented CAPM', Journal of Finance, Vol. 44, pp. 231-262.
    • (1989) Journal of Finance , vol.44 , pp. 231-262
    • Breeden, D.1    Gibbons, M.2    Litzenberger, R.3
  • 6
    • 0032771542 scopus 로고    scopus 로고
    • By force of habit: A consumption-based explanation of aggregate stock market behavior
    • Campbell, J. Y. and Cochrane, J. H. (1999). 'By Force of Habit: A Consumption-based Explanation of Aggregate Stock Market Behavior', Journal of Political Economy, Vol. 107, pp. 205-251.
    • (1999) Journal of Political Economy , vol.107 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 7
    • 0039619893 scopus 로고    scopus 로고
    • Explaining the poor performance of consumption-based asset pricing models
    • Campbell, J. Y. and Cochrane, J. H. (2000). 'Explaining the Poor Performance of Consumption-based Asset Pricing Models', Journal of Finance, Vol. 55, pp. 2863-2878.
    • (2000) Journal of Finance , vol.55 , pp. 2863-2878
    • Campbell, J.Y.1    Cochrane, J.H.2
  • 8
    • 20444500206 scopus 로고    scopus 로고
    • Land of addicts? an empirical investigation of habit-based asset pricing behaviour
    • Chen, X. and Ludvigson, S. (2004). 'Land of Addicts? An Empirical Investigation of Habit-based Asset Pricing Behaviour', NBER Working Paper 10503.
    • (2004) NBER Working Paper 10503
    • Chen, X.1    Ludvigson, S.2
  • 9
    • 84935322716 scopus 로고
    • Habit formation: A resolution of the equity premium puzzle
    • Constantinides, G. (1990). 'Habit Formation: A Resolution of the Equity Premium Puzzle', Journal of Political Economy, Vol. 98, pp. 519-543.
    • (1990) Journal of Political Economy , vol.98 , pp. 519-543
    • Constantinides, G.1
  • 11
    • 0000842941 scopus 로고
    • Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework
    • Epstein, L. and Zin, S. (1989). 'Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework', Econometrica, Vol. 57, pp. 937-969.
    • (1989) Econometrica , vol.57 , pp. 937-969
    • Epstein, L.1    Zin, S.2
  • 12
    • 84935429666 scopus 로고
    • Substitution, risk aversion and the temporal behavior of consumption and asset returns: An empirical analysis
    • Epstein, L. and Zin, S. (1991). 'Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis', Journal of Political Economy, Vol. 99, pp. 263-286.
    • (1991) Journal of Political Economy , vol.99 , pp. 263-286
    • Epstein, L.1    Zin, S.2
  • 13
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F. and French, K. R. (1993). 'Common Risk Factors in the Returns on Stocks and Bonds', Journal of Financial Economics, Vol. 33, pp. 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 14
    • 84993845943 scopus 로고
    • Size and book-to-market factors in earnings and returns
    • Fama, E. F. and French, K. R. (1995). 'Size and Book-to-market Factors in Earnings and Returns', Journal of Finance, Vol. 50, pp. 131-155.
    • (1995) Journal of Finance , vol.50 , pp. 131-155
    • Fama, E.F.1    French, K.R.2
  • 15
    • 0000853427 scopus 로고
    • Habit persistence and durability in aggregate consumption
    • Ferson, W. and Constantinides, G. (1991). 'Habit Persistence and Durability in Aggregate Consumption', Journal of Financial Economics, Vol. 29, pp. 199-240.
    • (1991) Journal of Financial Economics , vol.29 , pp. 199-240
    • Ferson, W.1    Constantinides, G.2
  • 16
    • 84936526550 scopus 로고
    • Intertemporal substitution in consumption
    • Hall, R. E. (1988). 'Intertemporal Substitution in Consumption', Journal of Political Economy, Vol. 96, pp. 339-357.
    • (1988) Journal of Political Economy , vol.96 , pp. 339-357
    • Hall, R.E.1
  • 17
    • 40849105983 scopus 로고
    • Stochastic consumption, risk aversion, and the temporal behavior of asset returns
    • Hansen, L. P. and Singleton, K. J. (1983). 'Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns', Journal of Political Economy, Vol. 91, pp. 249-265.
    • (1983) Journal of Political Economy , vol.91 , pp. 249-265
    • Hansen, L.P.1    Singleton, K.J.2
  • 18
    • 0000900299 scopus 로고
    • An empirical investigation of asset pricing with temporally dependent preference specifications
    • Heaton, J. (1995). 'An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications', Econometrica, Vol. 63, pp. 681-717.
    • (1995) Econometrica , vol.63 , pp. 681-717
    • Heaton, J.1
  • 19
    • 0001072531 scopus 로고
    • Temporal resolution of uncertainty and dynamic choice theory
    • Kreps, D. M. and Porteus, E. L. (1978). 'Temporal Resolution of Uncertainty and Dynamic Choice Theory', Econometrica, Vol. 46, pp. 185-200.
    • (1978) Econometrica , vol.46 , pp. 185-200
    • Kreps, D.M.1    Porteus, E.L.2
  • 20
    • 0035681734 scopus 로고    scopus 로고
    • Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying
    • Lettau, M. and Ludvigson, S. (2001). 'Resurrecting the (C)CAPM: A Cross-sectional Test when Risk Premia are Time-varying', Journal of Political Economy, Vol. 109, pp. 1238-1286.
    • (2001) Journal of Political Economy , vol.109 , pp. 1238-1286
    • Lettau, M.1    Ludvigson, S.2
  • 21
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas, R. (1978). 'Asset Prices in an Exchange Economy', Econometrica, Vol. 46, pp. 1426-1446.
    • (1978) Econometrica , vol.46 , pp. 1426-1446
    • Lucas, R.1
  • 22
    • 0030210692 scopus 로고    scopus 로고
    • GMM and present value tests of the C-CAPM: Evidence from the Danish, German, Swedish, and UK stock markets
    • Lund, J. and Engsted, T. (1996). 'GMM and Present Value Tests of the C-CAPM: Evidence from the Danish, German, Swedish, and UK Stock Markets', Journal of International Money and Finance, Vol. 15, pp. 497-521.
    • (1996) Journal of International Money and Finance , vol.15 , pp. 497-521
    • Lund, J.1    Engsted, T.2
  • 24
    • 0039571008 scopus 로고    scopus 로고
    • Risk aversion versus intertemporal substitution: A case study of identification failure in the intertemporal consumption capital asset pricing model
    • Neely, C. J., Roy, A. and Whiteman, C. (2001). 'Risk Aversion Versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption Capital Asset Pricing Model', Journal of Business and Economic Statistics, Vol. 19, pp. 395-403.
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 395-403
    • Neely, C.J.1    Roy, A.2    Whiteman, C.3
  • 25
    • 10944261567 scopus 로고    scopus 로고
    • Consumption risk and cross-sectional returns
    • Princeton University
    • Parker, J. A. and Julliard, C. (2003). 'Consumption Risk and Cross-sectional Returns', Working Paper, Princeton University.
    • (2003) Working Paper
    • Parker, J.A.1    Julliard, C.2
  • 26
    • 0039473752 scopus 로고
    • A critique of asset pricing theory's tests: Part I: on past and potential testability of the theory
    • Roll, R. (1977). 'A Critique of Asset Pricing Theory's Tests: Part I: On Past and Potential Testability of the Theory', Journal of Financial Economics, Vol. 4, pp. 129-176.
    • (1977) Journal of Financial Economics , vol.4 , pp. 129-176
    • Roll, R.1
  • 28
    • 0034414735 scopus 로고    scopus 로고
    • "Rule-of-thumb" consumption, intertemporal substitution, and risk aversion
    • Weber, E. C. (2000). '"Rule-of-thumb" Consumption, Intertemporal Substitution, and Risk Aversion', Journal of Business and Economic Statistics, Vol. 18, pp. 497-502.
    • (2000) Journal of Business and Economic Statistics , vol.18 , pp. 497-502
    • Weber, E.C.1
  • 29
    • 38249004563 scopus 로고
    • The equity premium puzzle and the risk-free rate puzzle
    • Weil, P. (1989). 'The Equity Premium Puzzle and the Risk-free Rate Puzzle', Journal of Monetary Economics, Vol. 24, pp. 401-422.
    • (1989) Journal of Monetary Economics , vol.24 , pp. 401-422
    • Weil, P.1
  • 30
    • 20444435158 scopus 로고    scopus 로고
    • A Consumption-based explanation of expected stock returns
    • Harvard University
    • Yogo, M. (2003). 'A Consumption-based Explanation of Expected Stock Returns', Working Paper, Harvard University.
    • (2003) Working Paper
    • Yogo, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.