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An Empirical Investigation of Consumption CAPMs in the Australian Market

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  • Bin Li
  • Benjamin Liu
  • Eduardo Roca

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File URL: http://equella.rcs.griffith.edu.au/research/items/022ebe44-5118-7002-b4d7-2eb0b1cb2a23/1/2010-11-an-empirical-investigation-of-consumption-capms-in-the-australian-market.pdf
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Bibliographic Info

Paper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Finance with number finance:201011.

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Date of creation: Nov 2010
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Handle: RePEc:gri:fpaper:finance:201011

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Related research

Keywords: Consumption-Based CAPM; Consumption-Wealth Ratio; Surplus Consumption; Labour Income; Conditional Model; Asset Pricing;

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References

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  1. Faff, Robert W., 1998. "The empirical relationship between aggregate consumption and security prices in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 213-224, May.
  2. Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
  3. Alvin Tan & Graham Voss, 2000. "Consumption and Wealth," RBA Research Discussion Papers rdp2000-09, Reserve Bank of Australia.
  4. Alvin Tan & Graham Voss, 2003. "Consumption and Wealth in Australia," The Economic Record, The Economic Society of Australia, vol. 79(244), pages 39-56, 03.
  5. Motohiro Yogo, 2006. "A Consumption-Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 61(2), pages 539-580, 04.
  6. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc.
  7. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.
  8. Robert Faff & Barry Oliver, 1998. "Consumption versus market betas of Australian industry portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 513-517.
  9. Stuart Hyde & Mohamed Sherif, 2005. "Consumption Asset Pricing Models: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(3), pages 343-363, 06.
  10. Paul Gao & Kevin X.D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City.
  11. Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 1-33.
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