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dc.contributor.authorDarrat, Ali F
dc.contributor.authorLi, Bin
dc.contributor.authorPark, Jung Chul
dc.date.accessioned2017-05-03T15:49:20Z
dc.date.available2017-05-03T15:49:20Z
dc.date.issued2011
dc.date.modified2011-09-22T06:47:12Z
dc.identifier.issn0378-4266
dc.identifier.doi10.1016/j.jbankfin.2011.01.008
dc.identifier.urihttp://hdl.handle.net/10072/40866
dc.description.abstractWe examine the performance of several types of the consumption-based CAPM (C-CAPM) models to explore if consumption factors matter for determining excess returns across 17 MSCI country indexes. While the classic world C-CAPM does exhibit some power in explaining cross-sectional variations of expected excess returns, the model seems to require an implausibly large coefficient of risk aversion. The more sophisticated models including the heterogeneous C-CAPM, the world surplus consumption and the habit-formation models provide more reasonable estimates and add substantial explanatory power for the variation in the cross section of excess stock returns. Our results suggest that country-specific consumption risk is not fully diversified thus implying that stock returns are related to idiosyncratic consumption risk.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.publisher.placeNetherlands
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom2148
dc.relation.ispartofpageto2157
dc.relation.ispartofissue8
dc.relation.ispartofjournalJournal of Banking &Finance
dc.relation.ispartofvolume35
dc.rights.retentionY
dc.subject.fieldofresearchApplied mathematics
dc.subject.fieldofresearchEconomic theory
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchcode4901
dc.subject.fieldofresearchcode3803
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode350202
dc.titleConsumption-based CAPM models: International evidence
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2011
gro.hasfulltextNo Full Text
gro.griffith.authorLi, Bin


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