search query: @indexterm asset valuation / total: 357
reference: 11 / 357
| Author: | Grammig, J. Schrimpf, A. Schuppli, M. |
| Title: | Long-horizon consumption risk and the cross-section of returns: new tests and international evidence |
| Journal: | European Journal of Finance
2009 : JUL/SEP, VOL. 15:5-6, p. 511-532 |
| Index terms: | asset valuation pricing models consumption stock markets international |
| Language: | eng |
| Abstract: | This paper examines whether measuring consumption (hereafter as: cons.) risk (here as: c-r.) over long horizons (as: l-hrzs.) can improve the empirical performance of the cons.-based capital asset pricing model (CCAPM) for size and value premia in international stock markets (USA, UK, and Germany), including also industry portfolios in the test assets set. It is shown that, contrary to the findings of Parker & Julliard (in Journal of Political Economy, 2005, vol. 113:1, p. 185-222), the model evades of providing an accurate description of the cross-section of returns under the modified empirical approach. Yet, at the same time, measuring c-r. over l-hrzs. typically produces lower risk-aversion estimates. Thus, the paper's results suggest that more plausible parameter estimates, as opposed to lower pricing errors, can be seen as the main achievement of the l-hrzs. CCAPM. |
SCIMA