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Consumption, money, and excess returns
[journal article]
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 ... view more
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.... view less
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)
DOI
https://doi.org/10.1080/00036840903299730
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)