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dc.contributor.authorLi, Bin
dc.contributor.authorLiu, Benjamin
dc.contributor.authorRoca, Eduardo
dc.date.accessioned2017-05-03T15:49:20Z
dc.date.available2017-05-03T15:49:20Z
dc.date.issued2011
dc.date.modified2011-09-30T04:20:54Z
dc.identifier.issn0312-8962
dc.identifier.doi10.1177/0312896210394501
dc.identifier.urihttp://hdl.handle.net/10072/41056
dc.description.abstractWe test conditional consumption capital asset pricing models (CCAPMs) in the Australian equity market. The conditional variables used are Lettau and Ludvigson's (2001a, b) consumption-wealth ratio, Campbell and Cochrane's (1999) surplus consumption ratio and Santos and Veronesi's (2006) labour income to consumption ratio. We examine the cross-sectional implications of these variables using the Fama-French 25 size and book-to-market portfolios and Australian industry portfolios. The Fama-MacBeth (1973) cross-sectional regressions on the 25 size/book-to-market portfolios show that the conditional models perform better than the unconditional models. However, these conditional models cannot outperform the Fama-French three-factor model. The conditional CCAPM, with the labour income to consumption ratio as a scaling factor, can match more closely the performance of the Fama-French three-factor model. We also find that consumption growth is non-contemporaneously related to portfolio returns.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherSage Publications Ltd.
dc.publisher.placeUnited Kingdom
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom247
dc.relation.ispartofpageto266
dc.relation.ispartofissue2
dc.relation.ispartofjournalAustralian Journal of Management
dc.relation.ispartofvolume36
dc.rights.retentionY
dc.subject.fieldofresearchCommerce, management, tourism and services
dc.subject.fieldofresearchFinance
dc.subject.fieldofresearchcode35
dc.subject.fieldofresearchcode350202
dc.titleStock returns and consumption factors in the Australian market: Cross-sectional tests
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.date.issued2011
gro.hasfulltextNo Full Text
gro.griffith.authorLiu, Benjamin
gro.griffith.authorLi, Bin


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