A note on an interpretation to consumption-based CAPM

The consumption-based CAPM pricing rule is sometimes interpreted as implying that the price of an asset with a random payoff falls short of its expected payoff if and only if the random payoff positively correlates with consumption. This note demonstrates that this interpretation to C-CAPM is not generally correct. More importantly, it investigates under what qualifications this intuitive interpretation still holds.

MoreLess

Year of publication:	2008
Authors:	Liu, Liqun ; Wang, Zijun
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 3, p. 443-445
Publisher:	Elsevier

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005297202