Explaining emerging markets' stock returns using intertemporal time separable consumption-based asset pricing model

مقدم أطروحة جامعية

al-Batayinah, Mansur

مشرف أطروحة جامعية

Hamdun, Talal
al-Zubi, Haytham

أعضاء اللجنة

al-Duri, Muayyad
al-Tarawinah, Muhammad
al-Zubi, Khalid Abd al-Al

الجامعة

الأكاديمية العربية للعلوم المالية و المصرفية

الكلية

كلية العلوم المالية و المصرفية

القسم الأكاديمي

قسم الإدارة المالية

دولة الجامعة

الأردن

الدرجة العلمية

دكتوراه

تاريخ الدرجة العلمية

2006

الملخص الإنجليزي

The main purpose of this dissertation is to test the consumption based asset pricing models in attempt to prove that these models can relate the behavior of stock market returns and consumption in a good manner in order to capture stock prices behavior.

Using quarterly data over sixteen years for the Korea.

Philippine, and Taiwan asset returns, market return and consumption expenditure, and using Generalized Method of Moments (GMM).

1 estimate the traditional power utility consumption based capital asset pricing model (C-CAPM) developed by Hansen and Singleton (1982) which depends on the expected utility function, supposes that the risk aversion and elasticity of substitution are reciprocal of one another and the Epstein-Zin (1991) non expected utility model consumption based capital asset pricing model which depends on non-expected utility function that disentangles risk aversion parameter from the elasticity of substitution parameter, i use one consumption measure and three different sets of instrumental variables.

I found some evidences support and another reject each of the traditional C-CAPM and the Hpstein-Zin C-CAPM.

Furthermore, the performance of the two models is sensitive to the choice of both instrumental variables and the sample used.

التخصصات الرئيسية

العلوم المالية و المحاسبية

الموضوعات

• الأسعار
• الأسهم
• الفلبين
• تايوان
• كوريا

عدد الصفحات

92

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-306797