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| Author: | Bakshi, G. S. Naka, A. |
| Title: | An empirical investigation of asset pricing models using Japanese stock market data |
| Journal: | Journal of International Money and Finance
1997 : FEB, VOL. 16:1, p. 81-112 |
| Index terms: | ASSETS PRICING MODELS STOCK MARKETS JAPAN |
| Language: | eng |
| Abstract: | The empirical performance of a time-separable model, Abel's model with a consumption externality, the time non-separable model, the consumption-based recursive utility model, and the ad-hoc factor pricing model are examined in this study, which testes asset pricing models. The Hansen-Jagannathan volatility bounds test, the Hansen-Jagannathan specification error test and Euler equation-based generalized method of moments estimation are included in the testing frameworks. The evidence indicates that habit forming preferences are empirically supportable and a good characterization of the Japanese security market data is provided. |
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