Breeden, Douglas T.; Gibbons, Michael R; Litzenberger, … - Rodney L. White Center for Financial Research, Wharton …
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 consump-tion data. The...
