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| Author: | Bonomo, M. Garcia, R. |
| Title: | Consumption and equilibrium asset pricing : an empirical assessment |
| Journal: | Journal of Empirical Finance
1996 : SEP, VOL. 3:3, p. 239-265 |
| Index terms: | ASSET VALUATION EQUILIBRIUM ANALYSIS MARKOV CHAINS |
| Language: | eng |
| Abstract: | In this paper, the authors specify and estimate by maximum likelihood over the period 1871-1985 a heteroskedastic joint consumption and dividend Markov endowment process in an exchange asset pricing model. To assess the model, the authors try to replicate both the first and second unconditional moments of the return series, the negative serial correlation present in real and excess returns and the forecasting power of the dividend-price ratio for multiperiod returns. For the real returns, the model captures to some extent the main features od the data for values of the coefficient of risk aversion below 10. The main failure of the model comes from the excess returns. |
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