Empirical Tests of the Consumption‐Oriented CAPM
Publication
, Journal Article
BREEDEN, DT; GIBBONS, MR; LITZENBERGER, RH
Published in: The Journal of Finance
January 1, 1989
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
Duke Scholars
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Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1989
Volume
44
Issue
2
Start / End Page
231 / 262
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
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BREEDEN, D. T., GIBBONS, M. R., & LITZENBERGER, R. H. (1989). Empirical Tests of the Consumption‐Oriented CAPM. The Journal of Finance, 44(2), 231–262. https://doi.org/10.1111/j.1540-6261.1989.tb05056.x
BREEDEN, D. T., M. R. GIBBONS, and R. H. LITZENBERGER. “Empirical Tests of the Consumption‐Oriented CAPM.” The Journal of Finance 44, no. 2 (January 1, 1989): 231–62. https://doi.org/10.1111/j.1540-6261.1989.tb05056.x.
BREEDEN DT, GIBBONS MR, LITZENBERGER RH. Empirical Tests of the Consumption‐Oriented CAPM. The Journal of Finance. 1989 Jan 1;44(2):231–62.
BREEDEN, D. T., et al. “Empirical Tests of the Consumption‐Oriented CAPM.” The Journal of Finance, vol. 44, no. 2, Jan. 1989, pp. 231–62. Scopus, doi:10.1111/j.1540-6261.1989.tb05056.x.
BREEDEN DT, GIBBONS MR, LITZENBERGER RH. Empirical Tests of the Consumption‐Oriented CAPM. The Journal of Finance. 1989 Jan 1;44(2):231–262.
Published In
The Journal of Finance
DOI
EISSN
1540-6261
ISSN
0022-1082
Publication Date
January 1, 1989
Volume
44
Issue
2
Start / End Page
231 / 262
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment