Does money explain asset returns? Theory and empirical analysis

• 成果类型: Article
• 署名作者: Chan, KC; Foresi, S; Lang, LHP
• 署名单位: New York University; Chinese University of Hong Kong
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329312
• 发表日期: 1996
• 页码: 345-361
• 关键词: in-advance economy; models; tests; RISK

摘要

A cash-in-advance model of a monetary economy is used to derive a money-based CAPM (M-CAPM), which allows us to implement tests of asset pricing restrictions without consumption data. A test as in Fama and MacBeth of the model suggests that the money betas have some explanatory power for the cross-sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with our predictions, estimates of the curvature parameter are lower than those of the consumption CAPM (C-CAPM) and pricing errors of the M-CAPM tend to be smaller than those of the C-CAPM.