Test of the C-CAPM for the Philippines: 1981-1997

Abstract

This paper presents a test of multi-period asset pricing models using quarterly Philippine data. Using a consumption-based asset-pricing model, the study finds the rate of time preference to be 5.20 percent (on an annual basis). The estimated risk aversion coefficient of 0.043 seems to be on the low side when compared with estimates for other countries. Hansen’s J-test finds favorable evidence for the C-CAPM as the overidentifying restrictions are not rejected.