TY  - JOUR
AU  - Giovannini,Alberto
AU  - Jorion,Philippe
TI  - Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3195
PY  - 1989
Y2  - December 1989
UR  - http://www.nber.org/papers/w3195
L1  - http://www.nber.org/papers/w3195.pdf
N1  - Author contact info:
Alberto Giovannini
Unifortune Asset Management
Via Donizetti 53
20122 Milano, Italy
E-Mail: alberto.giovannini@alum.mit.edu

Philippe Jorion
University of California, Irvine
Department of Finance
Graduate School of Management
Irvine, CA  92697
E-Mail: pjorion@gsm.uci.edu
AB  - 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).
ER  -