CCAPMConsumption Capital Asset Pricing Model
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Despite its attractive theoretical generality, empirical tests of the CCAPM for total returns of stocks have been supported even less than the CAPM.
Per capita data is used, rather than aggregate personal income data to follow the convention established in the CCAPM literature (e.
However, the PCAPM itself does not preclude the consumer tangency conditions upon which the traditional CCAPM is based, even if the empirical evidence for these is not strong.
9) Unlike the CCAPM, however, our PCAPM model does not admit of a natural way to embed asset returns and marginal productivities inside the expectations term of (9a)-(9b).
Using calibration methods rather than a formal statistical approach, they showed that a standard CCAPM severely underpredicts the size of the risk premium on equity.