Adjusted Consumption Capital Asset Pricing Model, According to the Marshall Preferences (Case Study: Iran)

Mohammadzadeh, Azam; shahyaki tash, mohammad nabi; roshan, reza

doi:10.18869/acadpub.jemr.7.25.7

Volume 7, Issue 25 (10-2016) jemr 2016, 7(25): 7-42 | Back to browse issues page

‎ 10.18869/acadpub.jemr.7.25.7

‎ 20.1001.1.22286454.1395.7.25.5.9

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Mohammadzadeh A, shahyaki tash M N, roshan R. Adjusted Consumption Capital Asset Pricing Model, According to the Marshall Preferences (Case Study: Iran). jemr 2016; 7 (25) :7-42
URL: http://jemr.khu.ac.ir/article-1-1242-en.html

Adjusted Consumption Capital Asset Pricing Model, According to the Marshall Preferences (Case Study: Iran)

Azam Mohammadzadeh ^*

¹, Mohammad nabi Shahyaki tash²

, Reza Roshan³

1- univercity of sistan & baluchestan , az.mohammadzadeh@gmail.com
2- univercity of sistan & baluchestan
3- university of khalij fars

Abstract: (7276 Views)

One of the capital asset pricing models is CCAPM model that first time were presented by Breeden (1979). In the standard and the basic CCAPM establishes a linear relationship between consumption’s beta and excess return on assets but unfortunately, linear CCAPM made The Equity Premium Puzzle. After presenting puzzles like equity premium puzzle, adjustments were made in the CCAPM. For this purpose in this paper, adjustments have been made in the preferences as explores the implications of a novel class of preferences for the behavior of asset prices. This class of preferences was suggested first time by Marshall (1920), that according to it, people derive utility not only from consumption, but also from the very act of saving.
In this paper, we derive the Euler equations after modeling preferences based on the savings and consumption estimate them with GMM. In order to estimate the models, is examined quarterly data of 1977 to 2010. The models are significant in the other words it can be concluded that consumption and saving are successful in explaining stocks returns. Based on the estimated parameters in the models we can conclude that β is greater than 0.8 and savings is significant in preferences function but don’t have high value. In addition, these results indicate that economic agents are risk averse.

Keywords: Capital Asset Pricing, Preferences, Saving, Saving-Based Asset-Pricing

Full-Text [PDF 3180 kb] (4343 Downloads)

Type of Study: بنیادی | Subject: پولی و مالی
Received: 2015/05/7 | Accepted: 2016/11/16 | Published: 2016/12/19

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