资源描述：
《advances in consumption-based asset pricing empirical tests》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、CHAPTER12AdvancesinConsumption-BasedAssetPricing:EmpiricalTests*SydneyC.LudvigsonDepartmentofEconomics,NewYorkUniversityandNBER,19W.4thStreet,6thFloor,NewYork,NY10012,USA.Tel.:+1(212)9988927Contents1.Introduction8002.Consumption-BasedModels:NotationandBac
2、kground8033.GMMandConsumption-BasedModels8063.1GMMReview(Hansen,1982)8063.2AClassicAssetPricingApplication:HansenandSingleton(1982)8073.3GMMAssetPricingwithNon-OptimalWeighting8103.3.1ComparingSpecificationError:HansenandJagannathan(1997)8103.3.2Statistic
3、alComparisonofHJDistance8123.3.3ReasonstoUse(andNottoUse)IdentityWeighting8134.EulerEquationErrorsandConsumption-BasedModels8155.ScaledConsumption-BasedModels8195.1EconometricFindings8235.2DistinguishingTwoTypesofConditioning8245.3Debate8296.AssetPricingw
4、ithRecursivePreferences8386.1EZWRecursivePreferences8406.2EZWPreferenceswithUnrestrictedDynamics:Distribution-FreeEstimation8426.2.1Two-StepProcedure8466.2.2FirstStep8476.2.3SecondStep8486.2.4EconometricFindings8496.3EZWPreferenceswithRestrictedDynamics:L
5、ong-RunRisk8516.3.1EconometricFindingsonLong-RunRisk8576.4Debate8677.StochasticConsumptionVolatility8728.AssetPricingwithHabits8818.1StructuralEstimationofCampbell–CochraneHabit8838.2FlexibleEstimationofHabitPreferenceswithUnrestrictedDynamics8848.3Econom
6、etricFindings887∗IamgratefultoTimothyCogley,MartinLettau,AbrahamLioui,HannoLustig,StephanNagel,MonikaPiazzesi,StijnVanNieuwerburgh,LauraVeldkamp,AnnetteVissing-Jorgensen,andtotheeditorsforhelpfulcomments,andtoPeterGrossandDavidKohnforexcellentresearchassi
7、stance.HandbookoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016/B978-0-44-459406-8.00012-3Allrightsreserved.799800SydneyC.Ludvigson8.4Debate8899.AssetPricingwithHeterogeneousConsumersandLimitedStockMarketParticipation89010.Conclusion897Re
8、ferences9001.INTRODUCTIONThelast15yearshasbroughtforthanexplosionofresearchonconsumption-basedassetpricingasaleadingcontenderforexplainingaggregatestockmarketbehavior.Theexplosionitselfrepresentsadramaticturn-around
