This article considers a panel framework to test consumption based asset pricing models driven by a US stock market reference for a number of developed economies. Specifically, we focus on a linearized form of what might be seen as a consumption-based capital asset pricing model in a pooled...

In this paper we extend the time series analysis to the panel frame-work to test the C-CAPM driven by wealth references for developed countries. Speci fically, we focus on a linearised form of the Consumption-based CAPM in a pooled cross section panel model with two-way error components. The...