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Consumption-Based Asset Pricing Models (Empirical Performance)

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Abstract

Asset pricing is a branch of financial economics that is rich in puzzles and anomalies – that is, stylized empirical facts not easily explained by the canonical asset pricing models. These range from the equity premium puzzle and the risk-free rate puzzle to the fact that stock returns are highly predictable. This article discusses different consumption-based asset pricing models that have been developed to resolve these puzzles, and it evaluates their empirical performance.

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  1. http://link.springer.com/referencework/10.1057/978-1-349-95121-5

    Fatih Guvenen & Hanno Lustig

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  1. Fatih Guvenen
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  2. Hanno Lustig
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Guvenen, F., Lustig, H. (2018). Consumption-Based Asset Pricing Models (Empirical Performance). In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2198

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