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AA10715850-00001001-0001.pdf
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Download
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:253.1 KB
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| Last updated |
:Apr 7, 2011 |
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: 1263 |
Total downloads since Apr 7, 2011 : 1263
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| Title |
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Inforamtion criteria for moment restriction models : an application of empirical cressie-read estimator for CCAPM
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伊藤, 幹夫
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イトウ, ミキオ
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Ito, Mikio
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野田, 顕彦
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ノダ, アキヒコ
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Noda, Akihiiko
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Keio Economic Society, Keio University
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2010
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Keio Economic Society discussion paper series
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10
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1
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2010
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We show nonexistence of the well known risk free rate puzzle in the Japanese financial markets. The result crucially depends on our accurate estimates of the two basic parameters of the discount factor and the degree of risk aversion appeared in a typical CCAPM. We estimate the parameters by the method recently developed, the generalized empirical likelihood estimation and by selecting instruments appropriately with a new information criterion.
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