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

100%
Klinkowska O.
Ekonomia. Rynek, Gospodarka, Społeczeństwo
|
2009
|
issue 24
112-152
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.
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