Abstract:
One of the most important issues in financial economics is the capital asset pricing since in this context various models have been introduced and tested in different economies. One of these models is consumption-based capital asset pricing model (CCAPM) which in this model changes in stock returns related to changes in consumption. Housing CCAPM (HCCAPM) is a derivative of CCAPM model that was introduced in 2007 by Piazzesi et al (2007). In this model representative agent’s utility is function of aggregate of non-housing consumption and housing service consumption while in the model CCAPM، total consumer expenditure considered as a macroeconomic variable. The main purpose of this paper is to investigate effect of housing services and a nonhousing consumption good on stock returns. In this paper HCCAPM and CCAPM model is estimated for quarterly data 1367 to 1391 period of the Iran with generalized method of moments (GMM). The results show that all parameters are significant. Estimation of parameters in both models indicates economic factors are patient and very risk-averse. Comparison of these models using loglinear reduced formandHansen and Jagannathan (HJ)-distance function indicate that CCAPM model explains stock returns more better than HCCAPM model.
Machine summary:
Comparison of Consumption-based Capital Asset Pricing Models (CCAPM) and Housing Consumption-based Capital Asset Pricing Models (HCCAPM) in 1 Explaining Stock Returns in Iran Azam Mohammadzadeh * PhD student in Financial Economics, University of Sistan and Baluchestan, az.
As mentioned, this model attempts to introduce a new explanatory variable (housing consumption expenditure) into the basic CCAPM model; in other words, this model emphasizes that the type of consumption expenditure has special importance in examining the relationship between return and risk.
By estimating the models using the GMM method and using data from two periods, 1947 to 2001 and 1936 to 2001, the authors conclude that incorporating housing into the basic CCAPM model improves its performance and the share of housing in household consumption expenditures is a good predictor for stock returns.
The loglinear Euler relationship of the asset pricing model based on housing consumption expenditures (HCCAPM), given the stochastic discount factor (SDF) of this model, is written as follows: Etrti+1 =f0 +f1Etln(Ct+1 Ct)+f2Etln(at+1 at) (15) In the above relationship, (f2, f1, f0) are functions of the structural parameters.
40 RH R Chart (2): Stock market return and housing return (1367 to 1391) Source: Central Bank of the Islamic Republic of Iran In addition to the private sector per capita consumption data that appears directly in equation (10) (Ct and at), estimating the models using the GMM method requires the use of instrumental variables, which will be explained in the next section.
(
, 
, 
)
