Arbeitspapier
Consumption based capital asset pricing and the Austrian Stock Exchange
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 29
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
consumption based capital pricing models
GMM
equity premium puzzle
Risikoprämie
Portfolio-Management
Capital Asset Pricing Model
Konsumtheorie
Schätztheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Böheim, René
Boss, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
1996
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Böheim, René
- Boss, Michael
- Institute for Advanced Studies (IHS)
Entstanden
- 1996
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