Journal article | Zeitschriftenartikel
Consumption, money, and excess returns
We augment the standard CCAPM by the growth in money holdings and empirically investigate whether money is helpful for pricing a cross-section of U.S. excess returns. We find that the growth in M2 significantly improves the fit of the CCAPM with R2s well above 80 percent in a cross-section with the three Fama-French factors, the momentum portfolio, a contrarian portfolio, and two bond portfolios as test assets.
- Umfang
-
Seite(n): 11
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Applied Economics
- Thema
-
Wirtschaft
Volkswirtschaftslehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Schmeling, Maik
- Ereignis
-
Veröffentlichung
- (wo)
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Vereinigte Staaten von Amerika
- (wann)
-
2010
- DOI
- URN
-
urn:nbn:de:0168-ssoar-252197
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:26 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Schmeling, Maik
Entstanden
- 2010
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