Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
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DOI：
10.2139/ssrn.935320
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发表时间：
1999-11
影响因子：
8.2
通讯作者：
M. Lettau;S. Ludvigson
中科院分区：
文献类型：
--
作者：
M. Lettau;S. Ludvigson
本文探讨了条件形式的CAPM和消费CAPM--也就是(C)CAPM--解释股票平均收益横截面的能力。我们方法的核心是使用原木消费-财富比率作为条件变量。我们证明，这种条件模型在按规模和市净率特征排序的投资组合上的表现远远好于无条件规范，与Fama-France三因素模型大致相当。有条件消费CAPM能够解释低账面市价和高账面市价投资组合之间的收益差异，几乎没有剩余规模或账面市值效应的证据。
This paper explores the ability of conditional versions of the CAPM and the consumption CAPM—jointly the (C)CAPM—to explain the cross section of average stock returns. Central to our approach is the use of the log consumption–wealth ratio as a conditioning variable. We demonstrate that such conditional models perform far better than unconditional specifications and about as well as the Fama‐French three‐factor model on portfolios sorted by size and book‐to‐market characteristics. The conditional consumption CAPM can account for the difference in returns between low‐book‐to‐market and high‐book‐to‐market portfolios and exhibits little evidence of residual size or book‐to‐market effects.