Estimation and evaluation of asset pricing models with habit formation using Philippine data

This study tests and evaluates the habit-formation model, an extension of the Consumption-based Capital Asset Pricing Model (C-CAPM). Using Philippine equity and Treasury bill data from 1990 to 2003, this study constructs multiple asset porfolios to estimate the parameters of internal and external h...

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Bibliographic Details

Main Author:	Abara, Raymund R. (Author)
Other Authors:	Bautista, Carlos C. (adviser.)
Format:	Thesis
Language:	English
Subjects:	Capital assets pricing model. Finance > Mathematical models.