All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Atsushi Maki and Kenji Wada
 
''Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures''
( 2011, Vol. 31 No.2 )
 
 
In this paper, we develop a new model that explicitly considers two endogenous consumption items and investigates its applicability to consumption-capital asset pricing model (C-CAPM) by testing it with various sets of instruments. We found that our model is not rejected with reasonable values for both risk aversion and time preference parameters.
 
 
Keywords: C-CAPM, multiple consumption commodities, inter-temporal and intra-temporal choice
JEL: G1 - General Financial Markets: General (includes Measurement and Data)
C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Jan 04 2011 Manuscript Accepted : Apr 17 2011

  This abstract has been downloaded 212 times                The Full PDF of this paper has been downloaded 87715 times