The consumption-based capital asset pricing model: International evidence

Document Type

Article

Publication Date

1-1-1998

Abstract

This paper modifies the consumption-based capital asset pricing model (CCAPM) to allow for the possibility that households have finite horizons. Introducing finite horizons into CCAPM does not enhance its ability to account for real-world data. Risk is priced identically whether horizons are finite or infinite. Furthermore, the finite-horizon CCAPM accounts less well than the infinite-horizon CCAPM for the coexistence of low real money-market interest rates and high consumption growth rates and for the coexistence of a wide cross-country variation in the means and variances of consumption growth with a relatively narrow cross-country variation in real money-market interest rates. © 1998 Elsevier Science B.V. All rights reserved.

Identifier

0031627094 (Scopus)

Publication Title

Journal of Multinational Financial Management

External Full Text Location

https://doi.org/10.1016/s1042-444x(98)00014-0

ISSN

1042444X

First Page

1

Last Page

21

Issue

1

Volume

8

This document is currently not available here.

Share

COinS