Consumption, money and excess returns
We augment the standard Consumption Capital Asset Pricing Model (CCAPM) by the growth in money holdings and empirically investigate whether money is helpful for pricing a cross-section of US excess returns. We find that the growth in M2 significantly improves the fit of the CCAPM with R2s well above 80% in a cross-section with the three Fama-French factors, the momentum portfolio, a contrarian portfolio and two bond portfolios as test assets.
Year of publication: |
2011
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Authors: | Schmeling, Maik |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 43.2011, 20, p. 2559-2563
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Publisher: |
Taylor & Francis Journals |
Saved in:
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