the consumption-based capital asset pricing model (C-CAPM). Although the conditional covariances of returns with … consumption exhibit negative variation across size, they do not vary across the book-to-market ratio. Thus, the C-CAPM can capture … improves the fit of the C-CAPM, however. The value effect appears to be associated with book-to-market ratio as well as size …

components, namely continuous volatility and jump, and future market excess return. Building on quadratic variation theory, we … find that continuous volatility is a key driver of medium/long-run risk-return trade-offs while jumps lack predictive power …