جستجوی مقالات مرتبط با کلیدواژه « CCAPM Model » در نشریات گروه « اقتصاد »

In this paper, we estimate the asset pricing model based on random discount factor (SDF) according to traditional and behavioral approach in the Tehran Stock Exchange by extending the consumption-based asset pricing model (CCAPM), and introducing the sentiment into the utility function, by means of the Euler equations and the generalized method of moments (GMM). To achieving the goal, we apply two indexes of sentiment: the market turnover and the volatility premium. The investigation period is 1390-99 and the case study involves 18 stock exchange groups including 63 companies has listed on the Tehran Stock Exchange. The results demonstrate that the behavioral SDF model is more consistent and efficient with the facts of the Tehran Stock Exchange than the traditional model, and the coefficient of sentiment is significant. The coefficient of risk according to the behavioral model is higher than the traditional model, and in both cases, people have a high time preference rate and are patient.

The rate of time preference is a fact that exists in the outside world and reality, and some economists believe that zero-time preference rate is zero is compatible with intergenerational justice. Some Muslim economists are also of the opinion that Islamic values seek to reduce this external reality, and as a result, they consider the time preference rate to be zero or close to zero as an indicator of the society’s approach to intergenerational justice. Assuming that the rate of time preference is an indicator for the society’s approach to intergenerational justice, therefore it is always possible to measure the distance of the society from the value of intergenerational justice by measuring this index.There are different methods to measure this rate according to the factors that affect it, one of these methods is based on behavioral or traditional Stochastic Discount Factor (SDF) estimation, and this research also intends to use the data of the Iranian capital market. And with the help of behavioral and traditional SDF models to estimate the rate of time preference.The research results indicate that the time preference factor in the traditional SDF and behavioral SDF models is 0.98 and 0.84, respectively, and because the time preference rate obtained from the time preference factor in the traditional model is equal to 0.12 and in the behavioral model is equal to is 0.19, so it can be concluded that the pricing model containing emotion shows the distance of the society from the intergenerational justice-oriented society.

Along with increasing trade between countries, the changes in exchange rate is considered as one of the most important risk factors in the financial markets. Therefore, the aim of this study was to investigate the relationship between changes in exchange rates and asset returns in the theoretical and experimental framework of consumption based capital asset pricing model (CCAPM). For this purpose, we develop a basic CCAPM model by entry imported consumer goods in the recursive utility function of Epstein and Zin. The sample consisted of eight portfolios monthly data during the period 2003 to 2015. In the first stage, we used Euler equations and the generalized moments method (GMM) of Hansen and Singleton to estimate the parameters of the model, Estimating of the parameters of Euler equations indicate that economic agents are risk-averse and patient, the elasticity of substitution between domestic consumer goods and imported consumer goods is low and the inter-temporal elasticity of substitution is high. In the second stage, using by linear Euler equations as the asset pricing model and two-pass regression method of Fama and MacBeth, we investigated the impact of exchange risk premium, inflation, market returns and domestic consumption growth on the return premium. The results show that the exchange risk premium, inflation and market returns has a positive impact on return premium, This means that economic agents to accept more risk of these variables, apply to the more reward premium will be return on assets.

One of the most important issues in financial economics is the capital asset pricing since in this context various models have been introduced and tested in different economies. One of these models is consumption-based capital asset pricing model (CCAPM) which in this model changes in stock returns related to changes in consumption. Housing CCAPM (HCCAPM) is a derivative of CCAPM model that was introduced in 2007 by Piazzesi et al (2007). In this model representative agent’s utility is function of aggregate of non-housing consumption and housing service consumption while in the model CCAPM, total consumer expenditure considered as a macroeconomic variable. The main purpose of this paper is to investigate effect of housing services and a nonhousing consumption good on stock returns. In this paper HCCAPM and CCAPM model is estimated for quarterly data 1367 to 1391 period of the Iran with generalized method of moments (GMM). The results show that all parameters are significant. Estimation of parameters in both models indicates economic factors are patient and very risk-averse. Comparison of these models using loglinear reduced formandHansen and Jagannathan (HJ)-distance function indicate that CCAPM model explains stock returns more better than HCCAPM model.