Panopoulou, Ekaterini; Kalyvitis, Sarantis - Department of International and European Economic … - 2012
In this paper we estimate the single-factor Consumption Capital Asset Pricing Model (C-CAPM) over the frequency domain. We modify the standard two-step methodology (Fama and French, 1992) to account for the spectral properties of consumption risk and we find that its lower frequencies explain up...