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%T Consumption, money, and excess returns %A Schmeling, Maik %J Applied Economics %P 11 %D 2010 %K Asset pricing; CCAPM; Liquidity; Momentum; Money-in-the-utility-function %= 2011-05-30T10:56:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-252197 %X 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. %C USA %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info