Explaining The Poor Performance of Consumption - Based Asset Pricing Models  

Oleh:

Campbell, John Y.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 6 (2000), page 2863-2878.
Topik: Performance; models; studies; CAPM; securities markets; rates of return
Fulltext: p 2863.pdf (98.08KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We show that the external habit - formation model economy of campbell and cochrane (1999) can explain why the capital asset pricing model (CAPM) and its extensions are better aproximate asset pricing models than is the standard consumption - based model. The model economy produces time - varying expected returns, tracked by the dividend - price ratio. Portfolio - based models capture some of this variation in state variables, which a state - independent function of consumption cannot capture. Therefore, though the consumption - based model and CAPM are both perfect conditional asset pricing models, the portfolio - based odels a re better approximate unconditional asset pricing models.

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