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

Dissertant

al-Batayinah, Mansur

Thesis advisor

Hamdun, Talal
al-Zubi, Haytham

Comitee Members

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

University

Arab Academy for Financial and Banking Sciences

Faculty

The Faculty of Banking and Financial Sciences

Department

Department of Financial Management

University Country

Jordan

Degree

Ph.D.

Degree Date

2006

English Abstract

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.

Main Subjects

Financial and Accounting Sciences

Topics

• Prices
• Stocks
• Philippines
• Taiwan
• Korea

No. of Pages

92

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-306797