NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing

Alberto Giovannini, Philippe Jorion

NBER Working Paper No. 3195
Issued in December 1989
NBER Program(s):   ME

This paper provides two alternative estimation and testing procedures of a representative-agent model of asset pricing which relies on a particular parametrization of non-expected-utility preferences. The first is based on maximum-likelihood estimates, supplemented with an explicit model of time varying first and second moments (where the time-variation of second moments in modelled with an ARCH-Autoregressive Conditionally Heteroskedastic-process); the second is based on generalized-method-of moments estimates. We perform our tests on a data set that includes monthly observations of rates of return on US stock prices and US consumption of nondurables and services. Our results are directly comparable to a test of the dynamic capital asset pricing model performed by Hansen and Singleton (1983), and to a recent test of the model studied here performed by Epstein and Zin (1989).

download in pdf format
   (349 K)

email paper

This paper is available as PDF (349 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w3195

Published: European Economic Review, Vol. 37, no. 5 (1993): 1083-1100. citation courtesy of

Users who downloaded this paper also downloaded these:
Giovannini and Weil w2824 Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model
Singleton w1897 Asset Prices in a Time Series Model with Disparately Informed, Competative Traders
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us