Consumption, money, and excess returns

Schmeling, Maik

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%T Consumption, money, and excess returns
%A Schmeling, Maik
%J Applied Economics
%P 11
%D 2010
%K Asset pricing; CCAPM; Liquidity; Momentum; Money-in-the-utility-function
%= 2011-05-30T10:56:00Z
%~ http://www.peerproject.eu/
%> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-252197
%X We augment the standard CCAPM by the growth in money holdings and empirically investigate whether money is helpful for pricing a cross-section of U.S. excess returns. We find that the growth in M2 significantly improves the fit of the CCAPM with R2s well above 80 percent in a cross-section with the three Fama-French factors, the momentum portfolio, a contrarian portfolio, and two bond portfolios as test assets.
%C USA
%G en
%9 journal article
%W GESIS - http://www.gesis.org
%~ SSOAR - http://www.ssoar.info