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Consumption-Based Asset Pricing with Recursive Utility

Marjan Radnia; Mosayeb Pahlavani; Mohammad Nabi Shaihaki Tash; Reza Roshan

Volume 5, Issue 1 , June 2016, , Pages 65-78

https://doi.org/10.22099/ijes.2017.26599.1351

Abstract
  In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits ...  Read More