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Year 2016, Volume: 6 Issue: 4, 1884 - 1894, 01.09.2016

Abstract

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

Year 2016, Volume: 6 Issue: 4, 1884 - 1894, 01.09.2016

Abstract

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.

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Details

Other ID JA82ZP29RV
Journal Section Research Article
Authors

Azam Mohammadzadeh This is me

Mohammad Nabi Shahiki Tash This is me

Reza Roshan This is me

Publication Date September 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 4

Cite

APA Mohammadzadeh, A., Tash, M. N. S., & Roshan, R. (2016). Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran. International Journal of Economics and Financial Issues, 6(4), 1884-1894.
AMA Mohammadzadeh A, Tash MNS, Roshan R. Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran. IJEFI. September 2016;6(4):1884-1894.
Chicago Mohammadzadeh, Azam, Mohammad Nabi Shahiki Tash, and Reza Roshan. “Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran”. International Journal of Economics and Financial Issues 6, no. 4 (September 2016): 1884-94.
EndNote Mohammadzadeh A, Tash MNS, Roshan R (September 1, 2016) Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran. International Journal of Economics and Financial Issues 6 4 1884–1894.
IEEE A. Mohammadzadeh, M. N. S. Tash, and R. Roshan, “Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran”, IJEFI, vol. 6, no. 4, pp. 1884–1894, 2016.
ISNAD Mohammadzadeh, Azam et al. “Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran”. International Journal of Economics and Financial Issues 6/4 (September 2016), 1884-1894.
JAMA Mohammadzadeh A, Tash MNS, Roshan R. Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran. IJEFI. 2016;6:1884–1894.
MLA Mohammadzadeh, Azam et al. “Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran”. International Journal of Economics and Financial Issues, vol. 6, no. 4, 2016, pp. 1884-9.
Vancouver Mohammadzadeh A, Tash MNS, Roshan R. Investigating and Comparing Some Consumption-Based Asset Pricing Models: The Case of Iran. IJEFI. 2016;6(4):1884-9.