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| Tekijä: | |
| Otsikko: | Empirical tests of the consumption oriented CAPM. |
| Lehti: | Journal of Finance
1989 : JUN, VOL. 44:2, p. 231-262 |
| Asiasana: | CONSUMPTION CAPITAL ASSET PRICING FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consumption data. As predicted by the CCAPM, the market price of risk is significantly positive, and the estimate of the real interest rate is close to zero. The performances of the traditional CAPM and the CCAPM are about the same. |
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