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An Empirical Investigation of Consumption CAPMs in the Australian Market

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  • Bin Li
  • Benjamin Liu
  • Eduardo Roca

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  • Bin Li & Benjamin Liu & Eduardo Roca, 2010. "An Empirical Investigation of Consumption CAPMs in the Australian Market," Discussion Papers in Finance finance:201011, Griffith University, Department of Accounting, Finance and Economics.
    • Handle: RePEc:gri:fpaper:finance:201011
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    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390344/2010-11-an-empirical-investigation-of-consumption-capms-in-the-australian-market.pdf
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    References listed on IDEAS

    as
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    7. John Y. Campbell & John H. Cochrane, 2000. "Explaining the Poor Performance of Consumption‐based Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December.
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    More about this item

    Keywords

    Consumption-Based CAPM; Consumption-Wealth Ratio; Surplus Consumption; Labour Income; Conditional Model; Asset Pricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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