This dissertation is Empirical Tests of Consumption based Asset Pricing Models UK Data. Economics Dissertation Topics - This dissertation analyses the underlying and fundamental performance of consumption based asset pricing models using quarterly UK stock market and money market data. In particular I compare the empirical fit of the standard time separable expected utility model with constant relative risk aversion as developed by Lucas, also known as the power utility specification with respect to the general class of consumption based asset pricing models, relative to: the recursive utility model as in Epstein and Zin that abandons the expected utility assumption, a time non-separable model that incorporates habit persistence as developed by Abel also known as “catching up with the Joneses” model that exhibits external habit formation.
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