Consumption, money, and excess returns

Schmeling, Maik

[journal article]

dc.contributor.author	Schmeling, Maik	de
dc.date.accessioned	2011-05-28T03:07:00Z	de
dc.date.accessioned	2012-08-29T23:08:11Z
dc.date.available	2012-08-29T23:08:11Z
dc.date.issued	2010	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/25219
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Asset pricing; CCAPM; Liquidity; Momentum; Money-in-the-utility-function
dc.title	Consumption, money, and excess returns	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Applied Economics	de
dc.publisher.country	USA
dc.subject.classoz	Political Economy	en
dc.subject.classoz	Volkswirtschaftslehre	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-252197	de
dc.date.modified	2011-05-30T10:56:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	11
internal.identifier.classoz	1090300
internal.identifier.journal	21	de
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/00036840903299730	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Volkswirtschaftslehre (allgemein)
Political Economy (general)

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