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A Re-examination of the Consumption-based Capital Asset Pricing Model: The Case of US and Japan

International Journal of Social Science Studies

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Title A Re-examination of the Consumption-based Capital Asset Pricing Model: The Case of US and Japan
 
Creator Tsuji, Chikashi
 
Description This paper re-tests the classic consumption-based capital asset pricing model (CCAPM) by extending US quarterly samples and adding the Japanese case. Using the generalized method of moments (GMM) methodology developed by Hansen and Singleton (1982), we obtain the following findings. (1) First, in the case of the CCAPM with consumption for nondurable goods in the US, the discount rate parameters generally show plausible values; however, the risk aversion parameters show unstable values in general. Further, by the J-tests, the estimated CCAPMs with consumption for nondurable goods in the US are always supported. (2) Second, in the case of the CCAPM with consumption for nondurable goods and services in the US, although the parameters of discount rate generally show plausible values, the risk aversion parameters are unstable. In addition, judging the results of the J-tests, all estimated CCAPMs with consumption for nondurable goods and services in the US are supported. (3) Finally, as for the CCAPM with private final consumption expenditures in Japan, the parameters of discount rate take plausible values; on the other hand, the risk aversion parameter values are unstable in general. Regarding the model validity, our estimated CCAPMs for Japan are mostly supported by the J-tests.
 
Publisher Redfame Publishing
 
Contributor —
 
Date 2016-04-07
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
 
Format application/pdf
 
Identifier http://redfame.com/journal/index.php/ijsss/article/view/1525
10.11114/ijsss.v4i5.1525
 
Source International Journal of Social Science Studies; Vol 4, No 5 (2016); 95-103
2324-8041
2324-8033
 
Language eng
 
Relation http://redfame.com/journal/index.php/ijsss/article/view/1525/1552