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The consumption based asset pricing model: a note on potential tests and applications

Опубликовано на портале: 07-02-2003
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)