This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (C-CAPM) that an asset …'s expected return is determined by its equilibrium risk to consumption. Rather that measure the risk of a portfolio by the … contemporaneous covariance of its return and consumption growth -- as done in the previous literature on the C-CAPM and the pattern of …

consumption confirms that fiscal policy changes - both contractions and expansions - can have non-Keynesian effects if they are … sufficiently large and persistent, and suggests that these effects can result not only from changes in public consumption but to … decrease in net taxes (with almost no change in public consumption) was associated with a dramatic fall in private domestic …

the labor income to consumption ratio produces statistically significant coefficients and adjusted R2 's that are larger …

Following the textbook C-CAPM, the consumption risk of an asset is typically measured as the contemporaneous covariance … of the marginal utility of consumption and the return on that asset. When measured this way, consumption risk is too … central insight of the C-CAPM - that consumption risk determines returns - but take the model less literally by allowing the …

alternative fiscal policies on current consumption and saving. Studies to date have examined the response of current consumption … consumption smoothing is actually feasible. ESPlanner's saving and life insurance recommendations generate the smoothest possible … survival-state contingent lifetime consumption path for the household without putting it into debt. Such consumption smoothing …