Empirical Tests of the Consumption‐Oriented CAPM

Published

Journal Article

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. The CCAPM is tested using betas based on both consumption and the portfolio having the maximum correlation with consumption. 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. 1989 The American Finance Association

Full Text

Duke Authors

Cited Authors

  • BREEDEN, DT; GIBBONS, MR; LITZENBERGER, RH

Published Date

  • January 1, 1989

Published In

Volume / Issue

  • 44 / 2

Start / End Page

  • 231 - 262

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.1989.tb05056.x

Citation Source

  • Scopus