Estimation and evaluation of asset pricing models with habit formation using Philippine data

Estimation and evaluation of asset pricing models with habit formation using Philippine data

This study tests and evaluates the habit-formation model, an extension of the Consumption-based Capital Asset Pricing Model (C-CAPM). Using Philippine equity and Treasury bill data from 1990 to 2003, this study constructs multiple asset porfolios to estimate the parameters of internal and external h...

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Bibliografske podrobnosti
Glavni avtor: Abara, Raymund R. (Author)
Drugi avtorji: Bautista, Carlos C. (adviser.)
Format: Thesis
Jezik:English
Teme:
Capital assets pricing model.
Finance > Mathematical models.