GMM and present value test of the C-CAPM under transactions costs: Evidence from the UK stock market

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/951

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DC Field	Value	Language
dc.contributor.author	Gregoriou, A	-
dc.contributor.author	Ioannidis, C	-
dc.coverage.spatial	33	en
dc.date.accessioned	2007-07-05T12:39:31Z	-
dc.date.available	2007-07-05T12:39:31Z	-
dc.date.issued	2003	-
dc.identifier.citation	Economics and Finance Working papers, Brunel University, 03-01	en
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/951	-
dc.description.abstract	In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and secondly, the VAR approach proposed by Campbell and Shiller is extended to include the bid-ask spread. Overall the statistical tests are unable to reject the bid-ask spread as an independent explanatory variable in the C-CAPM. This leads to the conclusion that transactions costs should be included in asset pricing models.	en
dc.format.extent	203110 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en	-
dc.publisher	Brunel University	en
dc.subject	Asset Pricing, Bid-Ask spreads, GMM, VAR.	en
dc.title	GMM and present value test of the C-CAPM under transactions costs: Evidence from the UK stock market	en
dc.type	Research Paper	en
Appears in Collections:	Economics and Finance Dept of Economics and Finance Research Papers

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