Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

The Use of Asset Growth in Empirical Asset Pricing Models∗

We provide evidence that the empirical performance of the new factor models proposed by Hou, Xue, and Zhang (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Specifically, we call attention to the fact that, in both models, the investment factor is based on the measure of growth in total assets from Cooper, Gulen, and Schill (2008) and not on wha...

Consumption-Based Asset Pricing Models

A major research initiative in finance focuses on the determinants of the cross-sectional and time series properties of asset returns. With that objective in mind, asset pricing models have been developed, starting with the capital asset pricing models of Sharpe (1964), Lintner (1965), andMossin (1966). Consumption-based asset pricing models use marginal rates of substitution to determine the r...

An Overview of Asset Pricing Models

Consumption-Based Asset Pricing with Recursive Utility

In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...

Empirical Cross-Sectional Asset Pricing∗

I review recent research efforts in the area of empirical cross-sectional asset pricing. I start by summarizing the evidence on cross-sectional return predictability and the failure of standard (consumption) CAPM models and their conditional versions to explain these predictability patterns. One response in part of the recent literature is to focus on adhoc factor models, which summarize the cr...