Consumption, Money, and Excess Returns

Maik Schmeling (1)

1 Economics

We augment the standard CCAPM by the growth in money holdings and empirically investigate whether money is helpful for pricing a cross-section of U.S. excess returns. We find that the growth in M2 significantly improves the fit of the CCAPM with $R^2$s well above 80 percent in a cross-section with the three Fama-French factors, the momentum portfolio, a contrarian portfolio, and two bond portfolios as test assets.

Mots clés: Social Sciences & Humanities

Maik Schmeling. Consumption, Money, and Excess Returns. Applied Economics, 2010, pp.1. ⟨10.1080/00036840903299730⟩. ⟨hal-00596617⟩