Asset holders' consumption risk and tests of conditional CCAPM '

• 成果类型: Article
• 署名作者: Elkamhi, Redouane; Jo, Chanik
• 署名单位: University of Toronto; Chinese University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.04.002
• 发表日期: 2023
• 页码: 220-244
• 关键词: Conditional asset pricing test; Consumption CAPM; Conditional amount of consumption risk; Conditional price of consumption risk; Conditional value premium puzzle

摘要

We test the conditional consumption-CAPM using asset holders' consumption and find that the time variation in the prices of asset holders' consumption risk is procyclical. This puzzling time variation is at odds with the implication of existing consumption-based equilibrium asset pricing models. We show that our finding is a salient feature of the data observed in multiple asset classes (aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios), using different measures of consumption (household survey data and high-frequency retail shopping data) and alternative empirical methodologies.