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• W2074005725 abstract "We test conditional consumption capital asset pricing models (CCAPMs) in the Australian equity market. The conditional variables used are Lettau and Ludvigson’s (2001a , b ) consumption–wealth ratio, Campbell and Cochrane’s (1999) surplus consumption ratio and Santos and Veronesi’s (2006) labour income to consumption ratio. We examine the cross-sectional implications of these variables using the Fama–French 25 size and book-to-market portfolios and Australian industry portfolios. The Fama–MacBeth (1973) cross-sectional regressions on the 25 size/book-to-market portfolios show that the conditional models perform better than the unconditional models. However, these conditional models cannot outperform the Fama–French three-factor model. The conditional CCAPM, with the labour income to consumption ratio as a scaling factor, can match more closely the performance of the Fama–French three-factor model. We also find that consumption growth is non-contemporaneously related to portfolio returns." @default.
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• W2074005725 date "2011-08-01" @default.
• W2074005725 modified "2023-09-24" @default.
• W2074005725 title "Stock returns and consumption factors in the Australian market: Cross-sectional tests" @default.
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• W2074005725 doi "https://doi.org/10.1177/0312896210394501" @default.
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