magistrsko delo
Renato Božič (Author), Timotej Jagrič (Mentor)

Abstract

Medčasovni potrošni model z Neumen-Morgensternovo isoelastično funkcijo s konstantnim relativnim koeficientom nenaklonjenosti tveganju smo proučili z metodologijo stohastičnega diskontnega faktorja in posplošeno metodo momentov. Uganko premije za tveganje in uganko netvegane obrestne mere smo za Slovenijo, Madžarsko, Češko, Nemčijo in skupino evropskih držav EU-17 empirično testirali z linearnim in nelinearnim modelom. Rezultati kažejo, da model pojasni naše podatke zgolj ob ekstremno visokih koeficientih nenaklonjenosti tveganju in nerazumni stopnji investitorjeve časovne preference. Vključitev javnih informacij zmanjša koeficiente nenaklonjenosti tveganju in zagotovi visoko statistično značilne diskontne faktorje; vendar pa J-statistika ne potrdi pravilne specifikacije modela.

Keywords

premoženje;vrednotenje;ocenjevanje;cene;stohastični modeli;stohastični procesi;empirični testi;metoda momentov;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UM EPF - Faculty of Economics and Business
Publisher: R. Božič
UDC: 519.216
COBISS: 11767836 Link will open in a new window
Views: 1172
Downloads: 146
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Other data

Secondary language: English
Secondary title: Intertemporal consumption-based asset pricing model - empirical tests
Secondary abstract: Consumption-based asset pricing model with von Neumann-Morgenstern isoelastic utility function and constant relative risk aversion coefficient are investigated with stochastic discount factor and generalized method of moments methodology. Equity premium puzzle and risk-free rate puzzle are empirically tested with linear and nonlinear model on Slovenian, Hungarian, Slovakian, Czech, German and EU-17 member states data. The results indicate that the model explains our data only with extremely high risk aversion coefficient and unrealistic rate of time preference. Inclusion of public information reduces risk aversion coefficient and ensures high statistically significant discount factors. However, J-statistic does not confirm correct specification of the model.
Secondary keywords: Intertemporal consumption-based asset pricing model;stochastic discount factor;risk premium puzzles;risk free puzzles;generalized method of moments;
URN: URN:SI:UM:
Type (COBISS): Master's thesis
Thesis comment: Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages: VII, 87 f.
ID: 8729644