Purpose – This paper seeks to reconsider the Euler equation of the Consumption Capital Asset Pricing Model (CCAPM), to derive a regression‐based model to test it, and to present evidence that the model is consistent with reasonable values for the coefficient of relative risk aversion (CRRA)....

Purpose – This paper seeks to reconsider the Euler equation of the Consumption Capital Asset Pricing Model (CCAPM), to derive a regression-based model to test it, and to present evidence that the model is consistent with reasonable values for the coefficient of relative risk aversion (CRRA)....