Does Money Explain Asset Returns? Theory and Empirical Analysis.
A cash-in-advance model of a monetary economy is used to derive a money-based capital asset pricing model (M-CAPM), which allows the authors to implement tests of asset pricing restrictions without consumption data. A test as in Eugene F. Fama and James D. Macbeth (1973) of the model suggests that the money betas have some explanatory power for the cross-sectional variation of expected returns; however, the model is rejected using conditional information. Consistent with their predictions, estimates of the curvature parameter are lower than those of the consumption capital asset pricing model (C-CAPM) and pricing errors of the M-CAPM tend to be smaller than those of the C-CAPM. Copyright 1996 by American Finance Association.
Year of publication: |
1996
|
---|---|
Authors: | Chan, K C ; Foresi, Silverio ; Lang, Larry H P |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 51.1996, 1, p. 345-61
|
Publisher: |
American Finance Association - AFA |
Saved in:
Saved in favorites
Similar items by person
-
Insider Trading around Dividend Announcements: Theory and Evidence.
John, Kose, (1991)
-
Testing Financial Market Equilibrium under Asymmetric Information.
Lang, Larry H P, (1992)
-
Tobin's q, Corporate Diversification, and Firm Performance.
Lang, Larry H P, (1994)
- More ...