Skip to main content

Consumption, money and excess returns

Buy Article:

$47.50 plus tax (Refund Policy)

We augment the standard Consumption Capital Asset Pricing Model (CCAPM) by the growth in money holdings and empirically investigate whether money is helpful for pricing a cross-section of US excess returns. We find that the growth in M2 significantly improves the fit of the CCAPM with R 2s well above 80% in a cross-section with the three Fama–French factors, the momentum portfolio, a contrarian portfolio and two bond portfolios as test assets.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
No Metrics

Document Type: Research Article

Affiliations: Department of Economics,Leibniz Universitaet Hannover, Koenigsworther Platz 1D-30167 Hannover, Germany

Publication date: 2011-08-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more