This paper assesses the validity of common tests of the consumption CAPM. It constructs a
representative consumer economy calibrated to accord with annual asset pricing data. In …

This paper tests a simple version of the consumption-based asset pricing model.
Simulations show that when consumption is measured with error tests of the model's …

The empirical implications of the consumption‐oriented capital asset pricing model
(CCAPM) are examined, and its performance is compared with a model based on the market …

This paper presents empirical evidence that accounting for heterogeneity in financial market
participation is important for evaluating the empirical performance of the Consumption …

Empirical tests of the consumption capital asset pricing model with constant relative risk aver-
sion have rejected the model in several ways. In a general equilibrium model Mehra and …

In this paper we test the consumption oriented capital asset pricing model with constant
relative risk aversion using long time series data from four European stock markets. Two …

The consumption-based asset-pricing model predicts that excess yields are determined by
the market's degree of relative risk aversion and by the covariances of per capita …

This paper evaluates the specification errors of several empirical asset pricing models that
have been developed as potential improvements on the CAPM. We use the methodology of …

We perform maximum‐likelihood estimation of a model of international asset pricing based
on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing …

Empirical tests of Euler equations relating security returns and consumption usually appear
to reject the model. Using a common specification of aggregate preferences and …