Seasonality and Consumption-Based Asset Pricing
Seasonality and Consumption-Based Asset Pricing
复制标题
季节性和基于消费的资产定价
DOI：
10.1111/j.1540-6261.1992.tb04400.x
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发表时间：
1992
影响因子：
8
通讯作者：
Campbell R. Harvey
中科院分区：
文献类型：
--
作者：
W. Ferson;Campbell R. Harvey
基于消费的资产定价的大多数证据都是基于经季节调整的消费数据。基于消费的模型在解释资产回报方面效果不佳，但考虑到经季节调整的数据，我们有理由预计这些模型会遭到虚假的拒绝。本文使用未经季节调整的总消费数据检验资产定价模型。作者发现了反对具有时间可分离偏好的模型的证据，即使这些模型包含了季节性并允许季节性异方差。根据几个标准，使用未经季节性调整的消费数据和具有季节性影响的不可分离偏好的模型效果更好。参数估计暗示了总消费支出中某种形式的季节性习惯持久性。版权归美国金融协会所有。
Most of the evidence on consumption-based asset pricing is based on seasonally adjusted consumption data. The consumption-based models have not worked well for explaining asset returns, but with seasonally adjusted data there are reasons to expect spurious rejections of the models. This paper examines asset pricing models using not seasonally adjusted aggregate consumption data. The authors find evidence against models with time-separable preferences, even when the models incorporate seasonality and allow seasonal heteroskedasticity. A model that uses not seasonally adjusted consumption data and nonseparable preferences with seasonal effects works better according to several criteria. The parameter estimates imply a form of seasonal habit persistence in aggregate consumption expenditures. Copyright 1992 by American Finance Association.
影响因子：
6.1
作者：
HANSEN, LP;RICHARD, SF
通讯作者：
RICHARD, SF