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DC Field | Value | Language |
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dc.contributor.author | Hunter, J | - |
dc.contributor.author | Wu, F | - |
dc.date.accessioned | 2012-03-19T09:20:21Z | - |
dc.date.accessioned | 2014-01-21T12:25:20Z | - |
dc.date.available | 2014-01-21T12:25:20Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Economic Modelling, 36, 557–565, 2014 | en_US |
dc.identifier.issn | 0264-9993 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/7930 | - |
dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S0264999313004276 | en |
dc.description | This article was submitted and presented at the European Economics and Finance Society Conference, 2012, at Koç University, Istanbul, and the final version was published in a Special Section of Economic Modelling. The special section editor was John Hunter from Brunel University London. | - |
dc.description.abstract | In this paper we extend the time series analysis to the panel framework to test the C-CAPM driven by wealth references for developed countries. Speci cally, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error com- ponents. The empirical findings of this two-factor model with various specifications all indicate that there is significant unobserved heterogeneity captured by cross-country fixed e¤ects when consumption growth is treated as a common factor, of which the average risk aversion coefficient is 4.285. However, the cross-sectional impact of home consumption growth varies dramatically over the countries, where unobserved heterogeneity of risk aversion can also be addressed by random effects. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Consumption based asset pricing model | en_US |
dc.subject | Multi-factor model | en_US |
dc.subject | Panel estimation | en_US |
dc.subject | Fixed effects | en_US |
dc.title | Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies | en_US |
dc.type | Article | - |
dc.identifier.doi | http://dx.doi.org/10.1016/j.econmod.2013.10.001 | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Active Staff | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
pubs.organisational-data | /Brunel/Group Publication Pages | - |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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