Journal of Financial Economics
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Опубликовано на портале: 07-02-2003
B. Cornell
Journal of Financial Economics.
1981.
Vol. 9.
No. 1.
P. 103-8.
Examines the role of consumption in asset pricing. Collapse of a multi-beta capital
asset pricing model into a single-beta model where betas are computed with respect
to aggregate consumption; Role of consumption betas; Derivation of a single-beta
pricing equation; Stationarity of the consumption betas; Inclusion of the covariance
of the asset's return with aggregate real consumption. (Из Ebsco)
