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.
- Extent
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Seite(n): 11
- Language
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Englisch
- Notes
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Status: Postprint; begutachtet (peer reviewed)
- Bibliographic citation
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Applied Economics
- Subject
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Wirtschaft
Volkswirtschaftslehre
- Event
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Geistige Schöpfung
- (who)
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Schmeling, Maik
- Event
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Veröffentlichung
- (where)
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Vereinigte Staaten von Amerika
- (when)
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2010
- DOI
- URN
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urn:nbn:de:0168-ssoar-252197
- Rights
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GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Last update
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21.06.2024, 4:26 PM CEST
Data provider
This object is provided by:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.
Object type
- Zeitschriftenartikel
Associated
- Schmeling, Maik
Time of origin
- 2010
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