CONDITIONAL TESTS OF FACTOR AUGMENTED ASSET PRICING MODELS WITH HUMAN CAPITAL AND HOUSING: SOME NEW RESULTS

• Authors: Klinkowska Olga
• Languages of publication: EN

Abstracts

EN

In this paper the authoress develops the asset pricing model in which the wealth portfolio is enriched with human capital and housing capital. These two types of capital account for a significant portion of the total wealth. Additionally she introduces dynamics into the model and represent conditioning information by common factors estimated with dynamic factor methodology. In this way she can use more accurate representative of the unobservable information set of the investors. Obtained results prove that indeed better proxy for market return matters. Moreover conditional models show promising empirical performance and often price the cross-section of excess equity returns better than the Fama French three factor model.

Keywords

EN

CAPITAL ASSETS PRICING MODEL

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Wydział Nauk Ekonomicznych Uniwersytetu Warszawskiego
• Journal: Ekonomia. Rynek, Gospodarka, Społeczeństwo
• Year: 2009
• Issue: 24
• Pages: 112-152
• Document type: ARTICLE

Contributors

author

Klinkowska Olga

• Olga Klinkowska, Universitat Autonoma de Barcelona, Department of Economics and Economic History, Barcelona, Spain

Identifiers

CEJSH db identifier

10PLAAAA084825