Yan, Yu and Wang, Yiming (2020): Consumer Asset Pricing Model Based on Heterogeneous Consumers and the Mystery of Equity Premium.
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Abstract
As one of the core models of finance, the consumer capital asset pricing model (CCAPM) has produced the puzzle of equity premium. In order to explain this problem and get a more realistic pricing formula, this paper uses constant absolute risk aversion coefficient (Cara) utility function and introduces heterogeneous consumers to improve the original model, and finally gets a more effective form and there is no original puzzle in this form. At the end of the article, the American data are used to verify the results. The regression results support this model very well.
Item Type: | MPRA Paper |
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Original Title: | Consumer Asset Pricing Model Based on Heterogeneous Consumers and the Mystery of Equity Premium |
English Title: | Consumer Asset Pricing Model Based on Heterogeneous Consumers and the Mystery of Equity Premium |
Language: | English |
Keywords: | CAPM;CARA;puzzle of equity premium |
Subjects: | G - Financial Economics > G0 - General > G00 - General |
Item ID: | 98506 |
Depositing User: | Mr Yu Yan |
Date Deposited: | 10 Feb 2020 16:12 |
Last Modified: | 10 Feb 2020 16:12 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/98506 |