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| Author: | Campbell, J. Y. Cochrane, J. H. |
| Title: | Explaining the poor performance of consumption-based asset pricing models |
| Journal: | Journal of Finance
2000 : DEC, VOL. 55:6, p. 2863-2878 |
| Index terms: | Asset valuation Econometric models Financial analysis Performance appraisal |
| Language: | eng |
| Abstract: | The authors show that the external habit-formation model economy of Campbell and Cochrane (1999) can explain why the Capital Asset Prising Model and its extensions are better approximate asset pricing models than is the standard consumptionbased model. The model economy produces time-varying expected returns, tracked by the dividend-price ratio. |
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