search query: @indexterm CAPM / total: 22
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| Author: | Elyasiani, E. Nasseh, A. |
| Title: | Nonnested procedures in econometric tests of asset pricing theories |
| Journal: | Journal of Financial Research
2000 : SPRING, VOL. 23:1, p. 103-128 |
| Index terms: | Econometric models Stock markets CAPM USA |
| Language: | eng |
| Abstract: | In the paper non-nested tests are used to contrast the performance of the capital asset pricing (CAPM) and consumption asset pricing (CCAPM) theories in describing the U.S. stock market. The tests are carried out using data on firms as well as portfolios based on beta, capitalization, and Standard Industrial Classification codes. The findings indicate that although during 1973-1982 the CAPM dominates the CCAPM, during 1978-1987 the results are mixed, and during 1983-1992 the CCAPM dominates. The finding in favour of the CCAPM in 1983-1992 conflicts with much of the existing literature, which favours the CAPM. |
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