ESTIMATING, EVALUATION AND COMPARISON CONSUMPTION-BASED ASSET PRICING MODELS WITH GMM METHOD AND HJ FUNCTION

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SHAHIKI TASH MOHAMMAD NABI; MOHAMMADZADEH AZAM; ROSHAN REZA

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Paper Information

Journal: Journal of Economic Research Year:2017 | Volume:52 | Issue:2 Page(s): 371-395

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Title

ESTIMATING, EVALUATION AND COMPARISON CONSUMPTION-BASED ASSET PRICING MODELS WITH GMM METHOD AND HJ FUNCTION

Author(s)

SHAHIKI TASH MOHAMMAD NABI | MOHAMMADZADEH AZAM | ROSHAN REZA | Issue Writer Certificate

Keywords

CAPITAL ASSET PRICINGQ1

HABIT FORMATIONQ2

ASSET PRICING BASED CONSUMPTIONQ1

GMM METHODQ2

Abstract

One of the most important issues in financial economics is attention to risk and its relation to returns. One way to examine the relationship between risk and return is using the CAPITAL ASSET PRICING model. In this regard this article examines this issue and with the adjustments in consumption-based Asset pricing models (CCAPM), has examined the relationship between return and risk in the Tehran Stock Exchange. These adjustments include changes in the classic utility function. By introducing new variables to utility function and following process optimization for consumer behavior and derivation the corresponding Euler equation, these models have been estimated using Generalized Method of Moments (GMM). In this regard, four models were evaluated and compared. The four models include basic CCAPM model, SCAPM, HCCAPM and pricing based on HABIT FORMATION. The taste for saving parameter in the model SCCAPM means that it can be concluded preferences for savings is significant. The results indicate that consumer spending and its components have been successful in explaining stock returns in the period1367 to 1391. After estimation of the model parameters, the performance of the models have been compared using standard Hansen – Jonathan measure. The comparison of models suggests that the most efficient model is SCCAPM model in explaining stock returns.

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APA: Copy

SHAHIKI TASH, MOHAMMAD NABI, MOHAMMADZADEH, AZAM, & ROSHAN, REZA. (2017). ESTIMATING, EVALUATION AND COMPARISON CONSUMPTION-BASED ASSET PRICING MODELS WITH GMM METHOD AND HJ FUNCTION. TAHGHIGHAT-E-EGHTESADI, 52(2 ), 371-395. SID. https://sid.ir/paper/11924/en

Vancouver: Copy

SHAHIKI TASH MOHAMMAD NABI, MOHAMMADZADEH AZAM, ROSHAN REZA. ESTIMATING, EVALUATION AND COMPARISON CONSUMPTION-BASED ASSET PRICING MODELS WITH GMM METHOD AND HJ FUNCTION. TAHGHIGHAT-E-EGHTESADI[Internet]. 2017;52(2 ):371-395. Available from: https://sid.ir/paper/11924/en

IEEE: Copy

MOHAMMAD NABI SHAHIKI TASH, AZAM MOHAMMADZADEH, and REZA ROSHAN, “ESTIMATING, EVALUATION AND COMPARISON CONSUMPTION-BASED ASSET PRICING MODELS WITH GMM METHOD AND HJ FUNCTION,” TAHGHIGHAT-E-EGHTESADI, vol. 52, no. 2 , pp. 371–395, 2017, [Online]. Available: https://sid.ir/paper/11924/en

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