Bibtex export
@article{ Schmeling2010, title = {Consumption, money, and excess returns}, author = {Schmeling, Maik}, journal = {Applied Economics}, pages = {11}, year = {2010}, doi = {https://doi.org/10.1080/00036840903299730}, urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-252197}, 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.}, }