Construct · 1 fields · 1 citations

consumption CAPM: a standalone construct

One name. One construct. A landmark on the map.

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Asset pricing

an asset pricing model in which expected returns depend on an asset's covariance with aggregate consumption growth rather than with the market portfolio.

In asset pricing, consumption CAPM refers to an asset pricing model in which expected returns depend on an asset's covariance with aggregate consumption growth rather than with the market portfolio. This meaning comes from Breeden (1979) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

aggregate3 fields · 6 citationsjingle · one word, three constructs asset2 fields · 2 citationsjingle · one word, two constructs consumption3 fields · 5 citationsjingle · one word, three constructs

References

Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7(3), 265-296. https://doi.org/10.1016/0304-405x(79)90016-3

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