Consumption Based Capital Asset Pricing and the Austrian Stock Exchange

Böheim, René and Boss, Michael (May 1996) Consumption Based Capital Asset Pricing and the Austrian Stock Exchange. Former Series > Working Paper Series > IHS Economics Series 29

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Abstract

Abstract: Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock Exchange during the 1980s into account. For all the models we calculate the risk premium in order to see whether the models could explain the empirically observed risk premium. For the calculation of risk premia we use estimators generated by the General Method of Moments.;

Item Type:	IHS Series
Keywords:	'Consumption based Capital Pricing Models' 'GMM' 'Equity Premium Puzzle'
Classification Codes (e.g. JEL):	G12
Date Deposited:	26 Sep 2014 10:36
Last Modified:	26 Sep 2019 16:17
URI:	https://irihs.ihs.ac.at/id/eprint/904

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