We test conditional consumption capital asset pricing models (CCAPMs) in the Australian equity market. The conditional variables used are Lettau and Ludvigson’s (2001a, b) consumption–wealth ratio, Campbell and Cochrane’s (1999) surplus consumption ratio and Santos and...

A deluge of tests have been conducted on asset pricing models in literature, more so on the Capital Asset Pricing Model (CAPM), to ascertain their validity, efficiency and efficacy in different markets in explaining asset prices. Such tests have been either individual in nature wherein any one...

With increasing doubt about the validity of the one-factor Capital Asset Pricing Model in pricing financial assets, development of newer models or extensions has become the order of the day. This paper applies one of these developments—the multi-factor Arbitrage Pricing Theory (APT) to...