ISSN: 0137-3056


Punkty MNiSW:

13



Redaktor naczelny:
prof. dr hab. Tomasz Żylicz
tzylicz@wne.uw.edu.pl

Sekretarz redakcji:
Marta Höffner
ekonomia@wne.uw.edu.pl
(48) 22 55 49 184

Wydawca:



Conditional Tests of Factor Augmented Asset Pricing Models with Human Capital and Housing: Some New Results

O. Klinkowska

ABSTRAKT: In this paper I develop the asset pricing model in which the wealth portfolio is enriched with human capital and housing capital. These two types of capital account for a significant portion of the total wealth. Additionally I introduce dynamics into the model and represent conditioning information by common factors estimated with dynamic factor methodology. In this way I can use more accurate representative of the unobservable information set of the investors. Obtained results prove that indeed better proxy for market return matters. Moreover conditional models show promising empirical performance and often price the cross-section of excess equity returns better than the Fama French three factor model.

Pełny tekst (PDF)


Numer wydania: 24

W numerze:

Introduction and Overview
A. Cieślik
ABSTRAKT | PDF
Employment Specialization in the Enlarged European Union
A. Parteka
ABSTRAKT | PDF
Corruption and Social Norms
Ł. Goczek
ABSTRAKT | PDF
The Impact of International Trade and Foreign Competition on Labour Earnings in Poland
E. Stępień
ABSTRAKT | PDF
Forecasting Turning Points with Composite Leading Indicators - the Case of Poland
K. Zalewski
ABSTRAKT | PDF
Shadow Economy and Its Relations with Tax System and State Budget in Poland
S. Cichocki
ABSTRAKT | PDF
Conditional Tests of Factor Augmented Asset Pricing Models with Human Capital and Housing: Some New Results
O. Klinkowska
ABSTRAKT | PDF
On Importance of Main Economic Categories: Jel Codes Analysis
K. Karbownik, M. Knauff
ABSTRAKT | PDF
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