Journal of Economic Research (Tahghighat- E- Eghtesadi)

Journal of Economic Research (Tahghighat- E- Eghtesadi)

Estimating, Evaluation and Comparison Consumption-Based Asset Pricing Models with GMM Method and HJ Function

Document Type : Research Paper

Authors
Mohammad Nabi Shahiki Tash 1
Sepehr Mohammadzadeh 2
Reza Roshan 3
1 Associate Professor of Economics, University of Sistan and Baluchestan,
2 PhD student at University of Sistan and Baluchestan
3 Assistant Professor of Economics , Faculty of Humanities, Persian Gulf University
10.22059/jte.2017.61858
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 are estimate 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, using standard Hansen- Jonathan (HJ) compare the performance of the models. The comparison of models suggests that the most efficient model is SCCAPM model in explaining stock returns.
JEL Classification: G11، G12، G1
Keywords
Capital asset pricing
Habit formation
Asset pricing based consumption
GMM method

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    محمدزاده، اعظم، شهیکی تاش، محمدنبی و روشن، رضا (1394). مقایسه‌ی مدل‌های قیمت­گذاری دارایی­های سرمایه­ای مبتنی بر مصرف (CCAPM) و مبتنی بر مخارج مصرفی بخش مسکن (HCCAPM). در توضیح بازده‌ی سهام در ایران. فصلنامه‌ی نظریه­های کاربردی اقتصاد، سال2، شماره‌ی 3، 72-49

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  • Receive Date 27 August 2016
  • Revise Date 10 December 2016
  • Accept Date 27 February 2017