Consumption, money, and excess returns

Schmeling, Maik

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.},
}