"According to the CCAPM
, an asset is risky if its low payoffs occur when consumption is low (and the value of additional funds is high), and its high payoffs occur when consumption is high (and the value of additional funds is low).
A inclusao da taxa marginal de substituicao do consumo pelo CCAPM
possibilitou a captura pelo modelo dos choques economicos representados por variagoes no consumo.
Despite its attractive theoretical generality, empirical tests of the CCAPM
for total returns of stocks have been supported even less than the CAPM.
[r.sub.p(t,t+[tau])] = [[gamma].sub.0,t,[tau]] + [[gamma].sub.1,t,[tau]] [[alpha].sub.pt.sup.FF] + 1 CCAPM
Alpha CAPM Alpha Horizon Mean [[gamma].sub.1] t-stat obs.
(1) The inconsistency stems from the finding that equity risk, as measured by the covariance between stock returns and consumption growth within the context of the consumption-based capital asset pricing model (CCAPM
), is too small to warrant the large average risk premium on stocks.
The second model (CCAPM
) is the unconditional consumption CAPM, which implies
Yet another illustration is the transformation of the CCAPM
"Estimacao de um Modelo Intertemporal de Precos de Ativos e Consumo (CCAPM
) para o Brasil - 1986/1998, Texto para Discussao #763, IPEA.
1997) for incorporating risky assets, such as stock and bond mutual funds, into Divisia monetary aggregates, the risk adjustments implied by the consumption capital asset pricing model (CCAPM
) methodology employed tend to be relatively small.
He then uses the consumption-capital-asset pricing model (CCAPM
) to predict the effects on forecasts of the equity premium.
They use the consumption capital asset pricing model (CCAPM
) to show that the risk adjustment amounts to subtracting a risk premium from the individual asset returns.