Marshall, David A.; Parekh, Nayan G. - In: Journal of Finance 54 (1999) 2, pp. 623-654
We investigate Grossman and Laroque's (1990) conjecture that costs of adjusting consumption can account, in part, for the empirical failure of the consumption-based capital asset pricing model (CCAPM). We incorporate small fixed costs of consumption adjustment into a CCAPM with heterogeneous...