Journal of Financial Economics Vol. 9 No. 1 1981
The consumption based asset pricing model
Abstract
Breeden's demonstration that Merton's multi-beta capital asset pricing model can be collapsed into a single-beta model where betas are computed with respect to aggregate consumption is an important theoretical advance. Nonetheless, Breeden's model retains many of the empirical problems that beset Merton's earlier version. In general the consumption betas will be nonstationary, so that the state variables must be observable for the model to be estimated.
- DOI
- 10.1016/0304-405x(81)90022-2
- Volume
- 9
- Issue
- 1
- Pages
- 103-108
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref