A study of the Consumption Capital Asset Pricing Model's appilcability across four countries

Spurway, Kayleigh Fay Nanette

Title: A study of the Consumption Capital Asset Pricing Model's appilcability across four countries
Creator: Spurway, Kayleigh Fay Nanette
Subject: Econometric models
Subject: Capital assets pricing model
Subject: Investments
Subject: Econometric models -- Germany
Subject: Econometric models -- South Africa
Subject: Econometric models -- Great Britain
Subject: Econometric models -- United States
Date Issued: 2014
Date: 2014
Type: Thesis
Type: Masters
Type: MCom
Identifier: vital:1095
Identifier: http://hdl.handle.net/10962/d1013016
Description: Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, estimated parameters fall outside the bounds specified by Lund & Engsted (1996) and Cuthbertson & Nitzsche (2004), even though the models are not rejected by the J-test and are associated with relatively small minimum distances.
Format: 86 leaves
Format: pdf
Publisher: Rhodes University
Publisher: Faculty of Commerce, Economics and Economic History
Language: English
Rights: Spurway, Kayleigh Fay Nanette

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