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Accounting for Human Capital and Weak Identification in Evaluating the Epstein-Zin-Weil Non-Expected Utility Model of Asset Pricing
http://hdl.handle.net/2261/2564
http://hdl.handle.net/2261/25641e26c30b-8583-4dfb-afd2-306690ef33aa
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Accounting for Human Capital and Weak Identification in Evaluating the Epstein-Zin-Weil Non-Expected Utility Model of Asset Pricing | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Asset Pricing | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Non-Expected Utility Preferences | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Human Capital | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Weak Identification | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Zhang, Qiang
× Zhang, Qiang |
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| 著者所属 | ||||||
| 著者所属 | University of Memphis | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In this paper, I first develop a new approach to estimating the return on the aggregate wealth portfolio that accounts for human capital and financial assets other than stocks. Using the estimated return on the wealth portfolio and the quarterly U.S. aggregate data on consumption and asset returns from 1959 to 2001, I then test the asset pricing and consumption implications of the Epstein and Zin (1991) and Weil (1990) model by employing the weak-identification robust tests of Stock and Wright's (2000) in the context of continuous updating generalized method of moments. In contrast with previous studies that ignored human capital and weak identification in evaluating this model, I find that its asset pricing implications cannot be rejected at conventional significance levels for reasonable parameter values. For example, the 95% confidence sets for unknown parameters include values of the relative risk aversion around 2 or lower, values of the elasticity of intertemporal substitution for consumption closely around 1, and the time discount factor around 0.987. Some of these parameter value combinations are able to simultaneously match the average equity premium and the average riskfree rate in the data. Furthermore, they imply that the dominant determinant of the equity premium is, surprisingly, the volatility of stock returns, the risk factor in the traditional capital asset pricing model. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Journal of Money, Credit, and Banking, 38(4), 2006, p. 873-899. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 2004-CF-289, 発行日 2004-07 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2004/2004cf289ab.html | |||||
