Asset pricing models with and without consumption data: An empirical evaluation

• Published in: Journal of empirical finance Vol. 3; no. 3; pp. 267 - 301
• Main Authors: Hardouvelis, Gikas A., Kim, Dongcheol, Wizman, Thierry A.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 1996; Elsevier
• Series: Journal of Empirical Finance
• Subjects: Asset pricing models; Consumption; Size effect; Consumption; G12; Asset pricing models; Size effect

This paper evaluates the ability of the empirical model of asset pricing of Campbell (1993a,b) to explain the time-series and cross-sectional variation of expected returns of portfolios of stocks. In Campbell's model, an alternative risk-return relationship is derived by substituting consumptio...