CCAPM

AcronymDefinition
CCAPMConsumption Capital Asset Pricing Model
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"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).
OPEC's Risk Premia and Volatility in Oil Prices
A inclusao da taxa marginal de substituicao do consumo pelo CCAPM possibilitou a captura pelo modelo dos choques economicos representados por variagoes no consumo.
(CAPM x Lower Partial Moments in Brazilian and American Markets)/Comparacao CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano
[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.
The cost of being good
(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.
Consumption and asset prices an analysis across income groups
The second model (CCAPM) is the unconditional consumption CAPM, which implies
Pricing model performance and the two-pass cross-sectional regression methodology: Working Paper 2009-11 March 2009
Yet another illustration is the transformation of the CCAPM Euler equations.
Jensen's inequality in finance
"Estimacao de um Modelo Intertemporal de Precos de Ativos e Consumo (CCAPM) para o Brasil - 1986/1998, Texto para Discussao #763, IPEA.
Estimating and testing two consumption-based asset pricing models for Brazil: an information-theoretic approach/Avaliacao e teste de dois modelos de formacao de preco de ativos baseados no consumo para o Brasil: uma abordagem baseada em teoria da informacao
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.
A new empirically weighted monetary aggregate for the United States
He then uses the consumption-capital-asset pricing model (CCAPM) to predict the effects on forecasts of the equity premium.
Great moderations and U.S. interest rates: unconditional evidence
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.
Are 'risky assets' substitutes for 'monetary assets?'
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