Asset holders’ consumption risk and tests of conditional CCAPM

Redouane Elkamhi and Chanik Jo

Journal of Financial Economics, 2023, vol. 148, issue 3, 220-244

Abstract: We test the conditional consumption-CAPM using asset holders’ consumption and find that the time variation in the prices of asset holders’ consumption risk is procyclical. This puzzling time variation is at odds with the implication of existing consumption-based equilibrium asset pricing models. We show that our finding is a salient feature of the data observed in multiple asset classes (aggregate equity market, equity portfolios, bond portfolios, and commodities portfolios), using different measures of consumption (household survey data and high-frequency retail shopping data) and alternative empirical methodologies.

Keywords: Conditional asset pricing test; Consumption CAPM; Conditional amount of consumption risk; Conditional price of consumption risk; Conditional value premium puzzle (search for similar items in EconPapers)
JEL-codes: C14 G10 G12 G17 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244

DOI: 10.1016/j.jfineco.2023.04.002

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