Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran

Azam MOHAMMADZADEH; Mohammad Nabi Shahiki TASH; Reza ROSHAN

Makale detayları

Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran

Yazarlar:

Azam MOHAMMADZADEH | Mohammad Nabi Shahiki TASH | Reza ROSHAN

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2016 Vol.6 Issue 4, pp.1884-1894

Belge Tipi:

Makale

Yayın Tarihi:

8/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000812631

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

Studies of last two decades refer to limits on the classical models of asset pricing such CAPM and CCAPM. In this article we make adjustments in CCAPM model and have been estimated modified models for the economy of Iran from 1988 to 2011. These models are HCCAPM and SCCAPM that in them investigated the implications of novel classes of preferences for the behavior of asset prices. In SCCAPM model utility function is a function of consumption and savings. In HCCAPM model utility function is a function of nonhousing and housing consumption. In this article estimated Euler equations for these preferences with GMM. We employ comparison criteria Hansen and Jagannathan (1997) HJ-distance for compare these models. Our empirical results indicated that economic factors are patient and very risk averse. Elasticity of substitution between housing service consumption and nonhousing service consumption is positive. However the HCAPM and SCCAPM have the explanatory power stock returns but compared to CCAPM have less performance or introducing housing and saving into the consumption-based models does not always improve the models’ performance. Results of SCCAPM suggested that the preference for saving in Iran is economically significant.

Makale detayları

Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran

Yazarlar: Azam MOHAMMADZADEH | Mohammad Nabi Shahiki TASH | Reza ROSHAN

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2016 Vol.6 Issue 4, pp.1884-1894

Belge Tipi: Makale

Yayın Tarihi: 8/2016

Belge Dili: Türkçe

Document ID (Org No.): 2000812631

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Azam MOHAMMADZADEH | Mohammad Nabi Shahiki TASH | Reza ROSHAN

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2016 Vol.6 Issue 4, pp.1884-1894

Belge Tipi:

Makale

Yayın Tarihi:

8/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000812631

Sıklık:

İki Aylık

eISSN:

2146-4138