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Consumption-based capital asset pricing model
Known as:
CCAPM
, Consumption beta
The consumption-based capital asset pricing model (CCAPM) is used in finance and economics as an expansion of the capital asset pricing model (CAPM…
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Capital asset pricing model
Papers overview
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Highly Cited
2016
Highly Cited
2016
Stock Market Predictability and Industrial Metal Returns
B. Jacobsen
,
Ben R. Marshall
,
Nuttawat Visaltanachoti
Management Sciences
2016
Corpus ID: 56460339
Price movements in industrial metals such as copper and aluminum predict stock returns. Increasing industrial metal prices are…
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Highly Cited
2015
Highly Cited
2015
Horizon Pricing
Avi Kamara
,
Robert A. Korajczyk
,
Xiaoxia Lou
,
Ronnie Sadka
Journal of Financial and Quantitative Analysis
2015
Corpus ID: 44655924
The literature documents heterogeneity in the delay of stock price reaction to systematic shocks, implying that asset risk…
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Highly Cited
2013
Highly Cited
2013
Myopic Loss Aversion and the Equity Premium Puzzle
Jon Kristian Heimdal
2013
Corpus ID: 140143968
2012
2012
Expected Return Dan Risiko Pengujian Consumption-Based Capital Asset Pricing Model (CCaPm) Pasar Saham Indonesia
Darwin Zahedy Saleh
2012
Corpus ID: 155291173
The aim of the study is to assess the positive relation between expected return of asset or portofolio with its consumption beta…
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Highly Cited
2010
Highly Cited
2010
Asset Pricing with Garbage
Alexi Savov
2010
Corpus ID: 9452564
A new measure of consumption, garbage, is more volatile and more correlated with stocks than the canonical measure, NIPA…
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Highly Cited
2008
Highly Cited
2008
Long-run risk-return trade-offs
F. Bandi
,
B. Perron
2008
Corpus ID: 62788622
2007
2007
Growth and Bubbles with Consumption Externalities
Kazuo Mino
2007
Corpus ID: 54083465
This paper explores the role of consumption externalities in an overlapping generations economy with capital accumulation. If…
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Highly Cited
2005
Highly Cited
2005
Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns
Yong Wang
,
R. Jagannathan
2005
Corpus ID: 155064109
When consumption betas of stocks are computed using year-over-year consumption growth based upon the fourth quarter, the CCAPM…
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Highly Cited
2002
Highly Cited
2002
Patents, Real Options and Firm Performance
N. Bloom
,
J. Van Reenen
2002
Corpus ID: 56068613
Analysing the new IFS-Leverhulme database on over 200 major British firms since 1968 we show that patents have an economically…
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2001
2001
Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model
P. Christensen
,
S. Graversen
,
K. Miltersen
2001
Corpus ID: 16367478
Under the assumptions of the Consumption-based Capital Asset Pricing Model (CCAPM), Pareto optimal consumption allocations are…
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