Abstract
The SARS pandemic slowed down household income growth and negatively impacted the financial market. This paper extends the asset pricing literature by providing a new channel to explain the impact of the pandemic on asset prices. First, we propose an income-featuring consumption-based capital asset pricing model (IF-CAPM). Second, the empirical tests show that the IF-CAPM successfully captures structural changes brought about by the SARS pandemic on the financial market and the model performs better than the traditional CAPM.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
