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- W943901926 abstract "The last chapter has provided evidence that stock returns are predictable (at least to some extent), and that the time variation of expected excess returns is linked to the business cycle. In this chapter I will further explore the relationship between stock returns and real activity within a formal beta pricing framework. Merton’s (1973) pricing equation includes the covariances of each asset’s return with both the market portfolio and all state variables. His model specifies a multivariate linear proxy for marginal utility. In equilibrium, investors hold a portfolio that is optimally hedged against changes in the investment opportunity set. Breeden’s (1979) consumption capital asset pricing model (CCAPM) collapses the state variables into a single source of risk, the consumption beta. His pricing equation includes the covariance of the asset’s return with aggregate consumption only. Stulz (1981) developed an international version of this model, where expected returns are linear in a measure of real world consumption risk." @default.
- W943901926 created "2016-06-24" @default.
- W943901926 creator A5039804346 @default.
- W943901926 date "2000-01-01" @default.
- W943901926 modified "2023-09-23" @default.
- W943901926 title "Testing a conditional version of the consumption-based asset pricing model" @default.
- W943901926 doi "https://doi.org/10.1007/978-3-663-08529-4_5" @default.
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