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Consumption, money, and excess returns

[journal article]

Schmeling, Maik

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Abstract We augment the standard CCAPM by the growth in money holdings and empirically investigate whether money is helpful for pricing a cross-section of U.S. excess returns. We find that the growth in M2 significantly improves the fit of the CCAPM with R2s well above 80 percent in a cross-section with the three Fama-French factors, the momentum portfolio, a contrarian portfolio, and two bond portfolios as test assets.
Classification Political Economy
Free Keywords Asset pricing; CCAPM; Liquidity; Momentum; Money-in-the-utility-function
Document language English
Publication Year 2010
Page/Pages 11 p.
Journal Applied Economics (2010)
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)