Conditional Tests of Factor Augmented Asset Pricing Models with Human Capital and Housing: Some New Results

• Autorzy: Olga Klinkowska
• Języki publikacji: EN

Abstrakty

EN

In this paper I develop the asset pricing model in which the wealth portfolio is enriched with human capital and housing capital. These two types of capital account for a significant portion of the total wealth. Additionally I introduce dynamics into the model and represent conditioning information by common factors estimated with dynamic factor methodology. In this way I can use more accurate representative of the unobservable information set of the investors. Obtained results prove that indeed better proxy for market return matters. Moreover conditional models show promising empirical performance and often price the cross-section of excess equity returns better than the Fama French three factor model. (original abstract)

Słowa kluczowe

EN

Capital Asset Pricing Model (CAPM); Human capital

PL

Model wyceny aktywów kapitałowych; Kapitał ludzki

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2009
• Numer: nr 24
• Strony: 112--152

Twórcy

autor

Olga Klinkowska

• Autonomous University of Barcelona

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